Nonlinear filtering for jump diffusion observations. Zbl 1251.93123
Ceci, Claudia; Colaneri, Katia |
|
2012
|
Optimal proportional reinsurance and investment for stochastic factor models. Zbl 1410.91257
Brachetta, Matteo; Ceci, C. |
|
2019
|
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness. Zbl 1291.93303
Ceci, Claudia; Colaneri, Katia |
|
2014
|
Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362
Ceci, Claudia |
|
2006
|
BSDEs under partial information and financial applications. Zbl 1329.60174
Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco |
|
2014
|
Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034
Ceci, Claudia; Bassan, Bruno |
|
2004
|
A model for high frequency data under partial information: a filtering approach. Zbl 1184.91211
Ceci, Claudia; Gerardi, Anna |
|
2006
|
Filtering of a Markov jump process with counting observations. Zbl 0963.60080
Ceci, C.; Gerardi, A. |
|
2000
|
GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061
Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco |
|
2014
|
Nonlinear filtering equation of a jump process with counting observations. Zbl 0981.60081
Ceci, Claudia; Gerardi, Anna |
|
2001
|
Existence of optimal controls for partially observed jump processes. Zbl 1015.60075
Ceci, Claudia; Gerardi, Anna; Tardelli, Paola |
|
2002
|
Pricing for geometric marked point processes under partial information: entropy approach. Zbl 1185.91172
Ceci, Claudia; Gerardi, Anna |
|
2009
|
Utility maximization with intermediate consumption under restricted information for jump market models. Zbl 1262.91066
Ceci, Claudia |
|
2012
|
A BSDE-based approach for the optimal reinsurance problem under partial information. Zbl 1452.91264
Brachetta, Matteo; Ceci, C. |
|
2020
|
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2022
|
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio |
|
2020
|
Local risk-minimization under restricted information on asset prices. Zbl 1329.60112
Ceci, Claudia; Cretarola, Alessandra; Colaneri, Katia |
|
2015
|
Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems. Zbl 0934.60077
Ceci, Claudia; Gerardi, Anna |
|
1998
|
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Zbl 1308.91077
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2015
|
Unit-linked life insurance policies: optimal hedging in partially observable market models. Zbl 1395.91247
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2017
|
A benchmark approach to risk-minimization under partial information. Zbl 1296.91146
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2014
|
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna |
|
2011
|
Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039
Bassan, Bruno; Ceci, Claudia |
|
2002
|
Utility-based hedging and pricing with a nontraded asset for jump processes. Zbl 1238.91067
Ceci, Claudia; Gerardi, Anna |
|
2009
|
Optimal investment-consumption for partially observed jump-diffusions. Zbl 1281.91140
Ceci, Claudia |
|
2013
|
Wealth optimization and dual problems for jump stock dynamics with stochastic factor. Zbl 1211.91255
Ceci, Claudia; Gerardi, Anna |
|
2010
|
Filtering of a branching process given its split times. Zbl 0887.60083
Ceci, Claudia; Gerardi, Anna |
|
1997
|
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029
Bassan, Bruno; Ceci, Claudia |
|
2002
|
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. Zbl 1448.91293
Bo, Lijun; Ceci, Claudia |
|
2020
|
Optimal control and filtering of the reproduction law of a branching process. Zbl 0926.60068
Ceci, Claudia; Gerardi, Anna |
|
1999
|
The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2017
|
Une propriété forte de branchements. (A strong branching property). Zbl 0757.60083
Ceci, Claudia; Mazliak, Laurent |
|
1992
|
Some results about stopping times of the marked tree space. Zbl 0893.60018
Ceci, C.; Gerardi, A.; Mazliak, L. |
|
1996
|
Conditional law of a branching process observing a subpopulation. Zbl 1077.60060
Ceci, Claudia; Gerardi, Anna |
|
2002
|
An estimate of the approximation error in the filtering of a discrete jump process. Zbl 1009.60030
Ceci, C.; Gerardi, A.; Tardelli, P. |
|
2001
|
Multitype branching processes observing particles of a given type. Zbl 1078.60064
Ceci, Claudia; Gerardi, Anna |
|
2005
|
Optimal investment problems with marked point processes. Zbl 1246.91160
Ceci, Claudia |
|
2011
|
Optimal design in nonparametric life testing. Zbl 1060.62113
Ceci, C.; Mazliak, L. |
|
2004
|
An approximation method for controlled discrete jump processes under partial observations. Zbl 1005.93049
Ceci, Claudia; Gerardi, Anna; Tardelli, Paola |
|
2001
|
Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2020
|
Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258
Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena |
|
2020
|
Controlled partially observed jump processes: dynamics dependent on the observed history. Zbl 1042.49536
Ceci, Claudia; Gerardi, Anna |
|
2001
|
A stochastic control approach to public debt management. Zbl 1498.91267
Brachetta, M.; Ceci, C. |
|
2022
|
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model. Zbl 1542.91146
Ceci, Claudia; Bufalo, Michele; Orlando, Giuseppe |
|
2024
|
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model. Zbl 1542.91146
Ceci, Claudia; Bufalo, Michele; Orlando, Giuseppe |
|
2024
|
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2022
|
A stochastic control approach to public debt management. Zbl 1498.91267
Brachetta, M.; Ceci, C. |
|
2022
|
A BSDE-based approach for the optimal reinsurance problem under partial information. Zbl 1452.91264
Brachetta, Matteo; Ceci, C. |
|
2020
|
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio |
|
2020
|
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. Zbl 1448.91293
Bo, Lijun; Ceci, Claudia |
|
2020
|
Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2020
|
Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258
Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena |
|
2020
|
Optimal proportional reinsurance and investment for stochastic factor models. Zbl 1410.91257
Brachetta, Matteo; Ceci, C. |
|
2019
|
Unit-linked life insurance policies: optimal hedging in partially observable market models. Zbl 1395.91247
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2017
|
The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2017
|
Local risk-minimization under restricted information on asset prices. Zbl 1329.60112
Ceci, Claudia; Cretarola, Alessandra; Colaneri, Katia |
|
2015
|
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Zbl 1308.91077
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2015
|
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness. Zbl 1291.93303
Ceci, Claudia; Colaneri, Katia |
|
2014
|
BSDEs under partial information and financial applications. Zbl 1329.60174
Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco |
|
2014
|
GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061
Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco |
|
2014
|
A benchmark approach to risk-minimization under partial information. Zbl 1296.91146
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra |
|
2014
|
Optimal investment-consumption for partially observed jump-diffusions. Zbl 1281.91140
Ceci, Claudia |
|
2013
|
Nonlinear filtering for jump diffusion observations. Zbl 1251.93123
Ceci, Claudia; Colaneri, Katia |
|
2012
|
Utility maximization with intermediate consumption under restricted information for jump market models. Zbl 1262.91066
Ceci, Claudia |
|
2012
|
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna |
|
2011
|
Optimal investment problems with marked point processes. Zbl 1246.91160
Ceci, Claudia |
|
2011
|
Wealth optimization and dual problems for jump stock dynamics with stochastic factor. Zbl 1211.91255
Ceci, Claudia; Gerardi, Anna |
|
2010
|
Pricing for geometric marked point processes under partial information: entropy approach. Zbl 1185.91172
Ceci, Claudia; Gerardi, Anna |
|
2009
|
Utility-based hedging and pricing with a nontraded asset for jump processes. Zbl 1238.91067
Ceci, Claudia; Gerardi, Anna |
|
2009
|
Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362
Ceci, Claudia |
|
2006
|
A model for high frequency data under partial information: a filtering approach. Zbl 1184.91211
Ceci, Claudia; Gerardi, Anna |
|
2006
|
Multitype branching processes observing particles of a given type. Zbl 1078.60064
Ceci, Claudia; Gerardi, Anna |
|
2005
|
Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034
Ceci, Claudia; Bassan, Bruno |
|
2004
|
Optimal design in nonparametric life testing. Zbl 1060.62113
Ceci, C.; Mazliak, L. |
|
2004
|
Existence of optimal controls for partially observed jump processes. Zbl 1015.60075
Ceci, Claudia; Gerardi, Anna; Tardelli, Paola |
|
2002
|
Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039
Bassan, Bruno; Ceci, Claudia |
|
2002
|
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029
Bassan, Bruno; Ceci, Claudia |
|
2002
|
Conditional law of a branching process observing a subpopulation. Zbl 1077.60060
Ceci, Claudia; Gerardi, Anna |
|
2002
|
Nonlinear filtering equation of a jump process with counting observations. Zbl 0981.60081
Ceci, Claudia; Gerardi, Anna |
|
2001
|
An estimate of the approximation error in the filtering of a discrete jump process. Zbl 1009.60030
Ceci, C.; Gerardi, A.; Tardelli, P. |
|
2001
|
An approximation method for controlled discrete jump processes under partial observations. Zbl 1005.93049
Ceci, Claudia; Gerardi, Anna; Tardelli, Paola |
|
2001
|
Controlled partially observed jump processes: dynamics dependent on the observed history. Zbl 1042.49536
Ceci, Claudia; Gerardi, Anna |
|
2001
|
Filtering of a Markov jump process with counting observations. Zbl 0963.60080
Ceci, C.; Gerardi, A. |
|
2000
|
Optimal control and filtering of the reproduction law of a branching process. Zbl 0926.60068
Ceci, Claudia; Gerardi, Anna |
|
1999
|
Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems. Zbl 0934.60077
Ceci, Claudia; Gerardi, Anna |
|
1998
|
Filtering of a branching process given its split times. Zbl 0887.60083
Ceci, Claudia; Gerardi, Anna |
|
1997
|
Some results about stopping times of the marked tree space. Zbl 0893.60018
Ceci, C.; Gerardi, A.; Mazliak, L. |
|
1996
|
Une propriété forte de branchements. (A strong branching property). Zbl 0757.60083
Ceci, Claudia; Mazliak, Laurent |
|
1992
|