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SANTACROCE, MARINA

SANTACROCE, MARINA  

Dipartimento di Scienze Matematiche  

013592  

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Citazione Data di pubblicazione Autori File
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
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
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
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
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 + -
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 -
Explicit Formulae for Power Utility Maximization Problems. Pubblicazioni di Matematica dell'Università di Genova / D., Covello; Santacroce, Marina; E., Sasso. - ELETTRONICO. - 597:(2012). 1-gen-2012 SANTACROCE, MARINA + -
Mean-variance hedging via stochastic control and BSDEs for general semimartingales / Jeanblanc, M.; Mania, M.; Santacroce, Marina; Schweizer, M.. - In: THE ANNALS OF APPLIED PROBABILITY. - ISSN 1050-5164. - STAMPA. - 22:6(2012), pp. 2388-2428. [10.1214/11-AAP835] 1-gen-2012 SANTACROCE, MARINA + -
A semimartingale BSDE related to the minimal entropy martingale measure / Mania, M; Santacroce, Marina; Tevzadze, R. - In: Handbook of Quantitative Finance and Risk Management / LEE; CHENG-FEW; LEE; ALICE C.; LEE; JOHN EDS.. - NEW YORK : Springer, 2010. - ISBN 9780387771168. - pp. 1555-1567 1-gen-2010 SANTACROCE, MARINA + -
Exponential Utility Maximization under Partial Information / Mania, M; Santacroce, Marina. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - 14:(2010), pp. 419-448. [10.1007/s00780-009-0114-z] 1-gen-2010 SANTACROCE, MARINA + -
Power Utility Maximization under Partial Information: some convergence results / Covello, D; Santacroce, Marina. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 120:(2010), pp. 2016-2036. [10.1016/j.spa.2010.05.013] 1-gen-2010 SANTACROCE, MARINA + -
Backward Stochastic Differential Equations driven by càdlàg martingales / Carbone, R; Ferrario, B; Santacroce, Marina. - In: THEORY OF PROBABILITY AND ITS APPLICATIONS. - ISSN 0040-585X. - 52, no.2:(2008), pp. 304-314. [10.1137/S0040585X97983055] 1-gen-2008 SANTACROCE, MARINA + -
Derivatives pricing via p-optimal martingale measures: some extreme cases / Santacroce, Marina. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - 43, no. 3:(2006), pp. 634-651. [10.1239/jap/1158784935] 1-gen-2006 SANTACROCE, MARINA -
On the convergence of the p-optimal martingale measure to the minimal entropy martingale measure / Santacroce, Marina. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - 23, no. 1:(2005), pp. 31-54. [10.1081/SAP-200044427] 1-gen-2005 SANTACROCE, MARINA -
The Bellman Equation Related to the Minimal Entropy Martingale Measure / Mania, M; Santacroce, Marina; Tevzadze, R.. - In: GEORGIAN MATHEMATICAL JOURNAL. - ISSN 1072-947X. - 11, no.1:(2004), pp. 125-135. 1-gen-2004 SANTACROCE, MARINA + -
A semimartingale BSDE related to the minimal entropy martingale measure / Mania, M; Santacroce, Marina; Tevzadze, R.. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - 7, no. 3:(2003), pp. 385-402. [10.1007/s007800200090] 1-gen-2003 SANTACROCE, MARINA + -
A semimartingale backward equation related to the p-optimal martingale measure and the lower price of a contingent claim / Mania, M.; Santacroce, Marina; Tevzadze, R. - In: Stochastic processes and related topics / EDITORS BUCKDAHN R.; ENGELBERT H.-J.; YOR M.. - LONDON : Taylor and Francis, 2002. - ISBN 9780415298834. - pp. 189-212 1-gen-2002 SANTACROCE, MARINA + -
Semimartingale backward equation for the p-optimal martingale measure: some extreme cases / Santacroce, Marina. - 41:(2002). 1-gen-2002 SANTACROCE, MARINA -
Semimartingale backward equations related to the p-optimal and to the minimal entropy martingale measures / Santacroce, Marina. - (2002). 1-gen-2002 SANTACROCE, MARINA -