Archivio Istituzionale della RicercaSfoglia per Autore
Forward backward semimartingale systems for utility maximization
2014 Santacroce, Marina; Trivellato, Barbara
Power utility maximization problems under partial information and information sufficiency in a Brownian setting
2015 Santacroce, Marina; Sasso, Emanuela; Trivellato, Barbara; Covello, Daniela
New results on mixture and exponential models by Orlicz spaces
2016 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
Option pricing under deformed Gaussian distributions
2016 Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara
On mixture and exponential connection by open arcs
2017 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
A non-Gaussian option pricing model based on Kaniadakis exponential deformation
2017 Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara
Exponential models by Orlicz spaces and applications
2018 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
An application of maximal exponential models to duality theory
2018 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
Minimization of the Kullback-Leibler Divergence over a Log-Normal Exponential Arc
2019 Siri, P.; Trivellato, B.
Robust concentration inequalities in maximal exponential models
2021 Siri, P.; Trivellato, B.
Sub-exponentiality in Statistical Exponential Models
2023 Trivellato, Barbara
A stage structured demographic model with “no-regression” growth: The case of temperature-dependent development rate
2023 Pasquali, Sara; Trivellato, Barbara
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
2024 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
| Citazione | Data di pubblicazione | Autori | File |
|---|---|---|---|
| Forward backward semimartingale systems for utility maximization / Santacroce, Marina; Trivellato, Barbara. - In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. - ISSN 0363-0129. - STAMPA. - 52:6(2014), pp. 3517-3537. [10.1137/130941778] | 1-gen-2014 | SANTACROCE, MARINATRIVELLATO, BARBARA | - |
| Power utility maximization problems under partial information and information sufficiency in a Brownian setting / Santacroce, Marina; Sasso, Emanuela; Trivellato, Barbara; Covello, Daniela. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - STAMPA. - 33:3(2015), pp. 493-509. [10.1080/07362994.2015.1009758] | 1-gen-2015 | SANTACROCE, MARINATRIVELLATO, BARBARA + | - |
| New results on mixture and exponential models by Orlicz spaces / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - In: BERNOULLI. - ISSN 1350-7265. - STAMPA. - 22:3(2016), pp. 1431-1447. [10.3150/15-BEJ698] | 1-gen-2016 | SANTACROCE, MARINASIRI, PAOLATRIVELLATO, BARBARA | BEJ698_final.pdf |
| Option pricing under deformed Gaussian distributions / Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara. - In: PHYSICA. A. - ISSN 0378-4371. - STAMPA. - 446:(2016), pp. 246-263. [10.1016/j.physa.2015.11.026] | 1-gen-2016 | TRIVELLATO, BARBARA + | MorettoPasqualiTrivellato2016.pdf |
| On mixture and exponential connection by open arcs / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - STAMPA. - 10589:(2017), pp. 577-584. (Intervento presentato al convegno Third international conference, GSI 2017 tenutosi a Paris (France) nel November 7-9, 2017) [10.1007/978-3-319-68445-1_67]. | 1-gen-2017 | Santacroce, MarinaSiri, PaolaTrivellato, Barbara | 58-Siri-proceedings.pdf |
| A non-Gaussian option pricing model based on Kaniadakis exponential deformation / Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara. - In: THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS. - ISSN 1434-6028. - ELETTRONICO. - 90:(10): 179(2017). [10.1140/epjb/e2017-80112-x] | 1-gen-2017 | Barbara Trivellato + | - |
| Exponential models by Orlicz spaces and applications / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - ELETTRONICO. - 55:3(2018), pp. 682-700. [10.1017/jpr.2018.45] | 1-gen-2018 | Santacroce, MarinaSiri, PaolaTrivellato, Barbara | 16571revision.pdf; Exponential models by Orlicz spaces.pdf |
| An application of maximal exponential models to duality theory / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - In: ENTROPY. - ISSN 1099-4300. - 20:7(2018), pp. 1-9. [10.3390/e20070495] | 1-gen-2018 | Santacroce, MarinaSiri, PaolaTrivellato, Barbara | entropy-313668-english done.pdf |
| Minimization of the Kullback-Leibler Divergence over a Log-Normal Exponential Arc / Siri, P.; Trivellato, B.. - STAMPA. - 11712:(2019), pp. 453-461. (Intervento presentato al convegno GSI 2019: Geometric Science of Information) [10.1007/978-3-030-26980-7_47]. | 1-gen-2019 | Siri P.Trivellato B. | 72-Siri-proceedings.pdf |
| Robust concentration inequalities in maximal exponential models / Siri, P.; Trivellato, B.. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 170:(2021), p. 109001. [10.1016/j.spl.2020.109001] | 1-gen-2021 | Siri P.Trivellato B. | SPLfinal.pdf |
| Sub-exponentiality in Statistical Exponential Models / Trivellato, Barbara. - In: JOURNAL OF THEORETICAL PROBABILITY. - ISSN 0894-9840. - ELETTRONICO. - 36:3(2023). [10.1007/s10959-023-01281-6] | 1-gen-2023 | Trivellato, Barbara | jtp-trivellato.pdf; Sub-exponentiality in Statistical Exponential Models.pdf |
| A stage structured demographic model with “no-regression” growth: The case of temperature-dependent development rate / Pasquali, Sara; Trivellato, Barbara. - In: PHYSICA. A. - ISSN 0378-4371. - 629:(2023), pp. 1-18. [10.1016/j.physa.2023.129179] | 1-gen-2023 | Trivellato, Barbara + | physica A 2023 preprint.pdf; main.pdf |
| Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - In: APPLIED MATHEMATICS AND OPTIMIZATION. - ISSN 0095-4616. - ELETTRONICO. - 89:3(2024). [10.1007/s00245-024-10114-9] | 1-gen-2024 | Siri, PaolaTrivellato, Barbara + | - |
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