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20042024
most citedComparison principles and Dirichlet problem for equations of Monge-Ampere type associated to vector fields

2 citations · 3 across the 16 of their papers we have counts for

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Showing 2014Show all

3 papers · 1 filter

math.PR2014

Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility

Martino Bardi, Annalisa Cesaroni, Andrea Scotti

We consider stochastic control systems affected by a fast mean reverting volatility driven by a pure jump Lévy process. Motivated by a large literature on financial models,…

math.AP2014

Large deviations for some fast stochastic volatility models by viscosity methods

Martino Bardi, Annalisa Cesaroni, Daria Ghilli

We consider the short time behaviour of stochastic systems affected by a stochastic volatility evolving at a faster time scale. We study the asymptotics of a logarithmic functional…

math.AP2014

Linear-Quadratic -person and Mean-Field Games with Ergodic Cost

Martino Bardi, Fabio S. Priuli

We consider stochastic differential games with players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Adm…