Carlo Marinelli

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
On some semi-parametric estimates for European option prices Journal of Applied Probability	2024-10-11	Paper
On certain representations of pricing functionals Annals of Finance	2024-05-13	Paper
Nonparametric estimates of option prices via Hermite basis functions Annals of Finance	2024-01-10	Paper
On some semi-parametric estimates for European option prices	2023-06-19	Paper
On the positivity of local mild solutions to stochastic evolution equations (available as arXiv preprint)	2022-12-01	Paper
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models Journal of Differential Equations	2022-11-11	Paper
Well-posedness of monotone semilinear SPDEs with semimartingale noise (available as arXiv preprint)	2022-11-01	Paper
Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise Potential Analysis	2022-06-24	Paper
An alternative proof of well-posedness of stochastic evolution equations in the variational setting (available as arXiv preprint)	2022-05-09	Paper
On pointwise Malliavin differentiability of solutions to semilinear parabolic SPDEs	2021-12-31	Paper
On the differentiability of solutions to singularly perturbed SPDEs	2020-12-30	Paper
Refined existence and regularity results for a class of semilinear dissipative SPDEs Infinite Dimensional Analysis, Quantum Probability and Related Topics	2020-11-12	Paper
An alternative proof of well-posedness of stochastic evolution equations in the variational setting (available as arXiv preprint)	2020-09-21	Paper
Fréchet differentiability of mild solutions to SPDEs with respect to the initial datum Journal of Evolution Equations	2020-09-07	Paper
Fréchet differentiability of mild solutions to SPDEs with respect to the initial datum Journal of Evolution Equations	2020-09-07	Paper
Ergodicity and Kolmogorov equations for dissipative SPDEs with singular drift: a variational approach Potential Analysis	2020-01-22	Paper
Positivity of mild solution to stochastic evolution equations with an application to forward rates	2019-12-28	Paper
Strong solutions to SPDEs with monotone drift in divergence form Stochastic and Partial Differential Equations. Analysis and Computations	2019-07-31	Paper
Strong solutions to SPDEs with monotone drift in divergence form Stochastic and Partial Differential Equations. Analysis and Computations	2019-07-31	Paper
A note on doubly nonlinear SPDEs with singular drift in divergence form Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Serie IX. Rendiconti Lincei. Matematica e Applicazioni	2019-03-05	Paper
On the well-posedness of SPDEs with singular drift in divergence form (available as arXiv preprint)	2019-01-22	Paper
A variational approach to dissipative SPDEs with singular drift The Annals of Probability	2018-06-26	Paper
A variational approach to dissipative SPDEs with singular drift The Annals of Probability	2018-06-26	Paper
On maximal inequalities for purely discontinuous martingales in infinite dimensions Lecture Notes in Mathematics	2018-06-21	Paper
On well-posedness of semilinear stochastic evolution equations on $L_p$ spaces SIAM Journal on Mathematical Analysis	2018-04-13	Paper
On the maximal inequalities of Burkholder, Davis and Gundy Expositiones Mathematicae	2016-03-03	Paper
On smoothing properties of transition semigroups associated to a class of SDEs with jumps Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2014-12-05	Paper
On smoothing properties of transition semigroups associated to a class of SDEs with jumps Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2014-12-05	Paper
Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise Seminar on Stochastic Analysis, Random Fields and Applications VII	2014-02-19	Paper
Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps Journal of Functional Analysis	2014-01-16	Paper
On maximal inequalities for purely discontinuous $L_q$-valued martingales	2013-11-27	Paper
Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs Potential Analysis	2013-10-21	Paper
Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs Potential Analysis	2013-10-21	Paper
Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2013-05-13	Paper
On the relation between forecast precision and trading profitability of financial analysts	2013-01-28	Paper
Multivariate heavy-tailed models for value-at-risk estimation International Journal of Theoretical and Applied Finance	2012-08-30	Paper
Existence of weak solutions for a class of semilinear stochastic wave equations SIAM Journal on Mathematical Analysis	2012-08-23	Paper
Well posedness and asymptotic behavior for stochastic reaction-diffusion equations with multiplicative Poisson noise Electronic Journal of Probability	2011-09-09	Paper
Well posedness and asymptotic behavior for stochastic reaction-diffusion equations with multiplicative Poisson noise Electronic Journal of Probability	2011-09-09	Paper
ON UNIQUENESS OF MILD SOLUTIONS FOR DISSIPATIVE STOCHASTIC EVOLUTION EQUATIONS Infinite Dimensional Analysis, Quantum Probability and Related Topics	2010-11-18	Paper
LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE Mathematical Finance	2010-08-03	Paper
Ergodicity for nonlinear stochastic evolution equations with multiplicative Poisson noise Dynamics of Partial Differential Equations	2010-07-30	Paper
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise Quantitative Finance	2010-03-11	Paper
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise Quantitative Finance	2010-03-11	Paper
$L^p$ estimates for Feynman-Kac propagators with time-dependent reference measures Journal of Mathematical Analysis and Applications	2010-02-19	Paper
Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise Journal of Functional Analysis	2010-01-11	Paper
Stochastic FitzHugh-Nagumo equations on networks with impulsive noise Electronic Journal of Probability	2009-11-20	Paper
Stochastic FitzHugh-Nagumo equations on networks with impulsive noise Electronic Journal of Probability	2009-11-20	Paper
Stochastic FitzHugh-Nagumo equations on networks with impulsive noise Electronic Journal of Probability	2009-11-20	Paper
STRONG SOLUTIONS FOR STOCHASTIC POROUS MEDIA EQUATIONS WITH JUMPS Infinite Dimensional Analysis, Quantum Probability and Related Topics	2009-11-09	Paper
Variational inequalities in Hilbert spaces with measures and optimal stopping problems Applied Mathematics and Optimization	2008-09-22	Paper
A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL International Journal of Theoretical and Applied Finance	2008-05-20	Paper
Stability of sequential Markov Chain Monte Carlo methods ESAIM: Proceedings	2007-11-20	Paper
A class of stochastic games with infinitely many interacting agents related to Glauber dynamics on random graphs Journal of Physics A: Mathematical and Theoretical	2007-10-19	Paper
Convergence of sequential Markov Chain Monte Carlo methods: I. Nonlinear flow of probability measures	2006-12-03	Paper
The stochastic goodwill problem European Journal of Operational Research	2006-10-25	Paper
scientific article; zbMATH DE number 5012789 (Why is no real title available?) (available as arXiv preprint)	2006-03-16	Paper
Reconstructing the drift of a diffusion from partially observed transition probabilities Stochastic Processes and their Applications	2005-09-29	Paper
On the reconstruction of the drift of a diffusion from transition probabilities which are partially observed in space (available as arXiv preprint)	2004-10-31	Paper
scientific article; zbMATH DE number 1532383 (Why is no real title available?)	2000-11-19	Paper
On mild solutions to some dissipative SPDEs on $L^p$ spaces with additive noise (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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