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An application of maximal exponential models to duality theory
2018 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
Exponential models by Orlicz spaces and applications
2018 Santacroce, Marina; Siri, Paola; Trivellato, Barbara
New results on mixture and exponential models by Orlicz spaces
2016 Santacroce, Marina; Siri, Paola; 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
Forward backward semimartingale systems for utility maximization
2014 Santacroce, Marina; Trivellato, Barbara
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
2012 Jeanblanc, M.; Mania, M.; Santacroce, Marina; Schweizer, M.
Exponential Utility Maximization under Partial Information
2010 Mania, M; Santacroce, Marina
Power Utility Maximization under Partial Information: some convergence results
2010 Covello, D; Santacroce, Marina
Backward Stochastic Differential Equations driven by càdlàg martingales
2008 Carbone, R; Ferrario, B; Santacroce, Marina
Derivatives pricing via p-optimal martingale measures: some extreme cases
2006 Santacroce, Marina
On the convergence of the p-optimal martingale measure to the minimal entropy martingale measure
2005 Santacroce, Marina
The Bellman Equation Related to the Minimal Entropy Martingale Measure
2004 Mania, M; Santacroce, Marina; Tevzadze, R.
A semimartingale BSDE related to the minimal entropy martingale measure.
2003 Mania, M; Santacroce, Marina; Tevzadze, R.
| 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 |
| 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 | - |
| 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 + | - |
| 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 + | - |