Matteo Burzoni

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems SIAM Journal on Control and Optimization	2024-09-20	Paper
Mean field games with absorption and common noise with a model of bank run Stochastic Processes and their Applications	2023-09-15	Paper
Risk Sharing with Deep Neural Networks	2022-12-22	Paper
Viability and arbitrage under Knightian uncertainty Econometrica	2021-11-18	Paper
Short communication: Robust market-adjusted systemic risk measures SIAM Journal on Financial Mathematics	2021-11-05	Paper
Arbitrage-free modeling under Knightian uncertainty Mathematics and Financial Economics	2021-05-03	Paper
Viscosity solutions for controlled McKean-Vlasov jump-diffusions SIAM Journal on Control and Optimization	2020-07-30	Paper
Robust martingale selection problem and its connections to the no-arbitrage theory Mathematical Finance	2020-05-14	Paper
Pointwise Arbitrage Pricing Theory in Discrete Time Mathematics of Operations Research	2020-04-30	Paper
On the quasi-sure superhedging duality with frictions Finance and Stochastics	2019-12-27	Paper
On the properties of the lambda value at risk: robustness, elicitability and consistency Quantitative Finance	2018-11-19	Paper
On the properties of the lambda value at risk: robustness, elicitability and consistency Quantitative Finance	2018-11-19	Paper
Model-free superhedging duality The Annals of Applied Probability	2017-09-15	Paper
Arbitrage and hedging in model-independent markets with frictions SIAM Journal on Financial Mathematics	2017-01-11	Paper
Universal arbitrage aggregator in discrete-time markets under uncertainty Finance and Stochastics	2016-03-29	Paper
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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