Blar i NHH Brage på forfatter "Di Nunno, Giulia"

Viser treff 1-4 av 4

    • A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes 

      Di Nunno, Giulia; Vives, Josep (Peer reviewed; Journal article, 2017)
      In this paper we develop a Malliavin–Skorohod type calculus for additive processes in the L1 and L1 settings, extending the probabilistic interpretation of the Malliavin–Skorohod operators to this context. We prove calculus ...

    • A Maximum Principle for Mean-Field SDEs with Time Change 

      Di Nunno, Giulia; Haferkorn, Hannes Hagen (Journal article; Peer reviewed, 2017)
      Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a ...

    • Kyle equilibrium under random price pressure 

      Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose (Peer reviewed; Journal article, 2019)
      We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev Financ Stud 5(3):387–409, 1992). The novelty of this paper is that we ...

    • On the approximation of Lévy driven Volterra processes and their integrals 

      Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove (Journal article; Peer reviewed, 2019)
      Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g.temperatures and wind and the related financial derivatives. Volterra processes are ...