Edit Profile (opens in new tab) Ceci, Claudia Co-Author Distance Author ID: ceci.claudia Published as: Ceci, Claudia; Ceci, C. Documents Indexed: 49 Publications since 1992, including 3 Additional arXiv Preprints Co-Authors: 14 Co-Authors with 45 Joint Publications 288 Co-Co-Authors all top 5 Co-Authors 4 single-authored 18 Gerardi, Anna 10 Colaneri, Katia 9 Cretarola, Alessandra 6 Brachetta, Matteo 4 Bassan, Bruno 4 Mazliak, Laurent 3 Tardelli, Paola 2 Callegaro, Giorgia 2 Russo, Francesco 1 Bo, Lijun 1 Ferrari, Giorgio 1 Frey, Rüdiger 1 Köck, Verena 1 Sgarra, Carlo all top 5 Serials 6 Insurance Mathematics & Economics 4 Acta Applicandae Mathematicae 3 Applied Mathematics and Optimization 3 Journal of Applied Probability 3 Stochastics and Stochastics Reports 3 International Journal of Theoretical and Applied Finance 3 Stochastics 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 Stochastic Processes and their Applications 1 Advances in Applied Probability 1 Theory of Probability and its Applications 1 IEEE Transactions on Automatic Control 1 REBRAPE 1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Electronic Journal of Probability 1 Finance and Stochastics 1 Statistical Inference for Stochastic Processes 1 Probability in the Engineering and Informational Sciences 1 Scandinavian Actuarial Journal 1 Decisions in Economics and Finance 1 Stochastics and Dynamics 1 Mathematics and Financial Economics 1 SIAM Journal on Financial Mathematics all top 5 Fields 39 Probability theory and stochastic processes (60-XX) 27 Systems theory; control (93-XX) 25 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 3 Operations research, mathematical programming (90-XX) 2 Statistics (62-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 43 Publications have been cited 291 times in 155 Documents Cited by ▼ Year ▼ Nonlinear filtering for jump diffusion observations. Zbl 1251.93123 Ceci, Claudia; Colaneri, Katia 23 2012 Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362 Ceci, Claudia 19 2006 The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness. Zbl 1291.93303 Ceci, Claudia; Colaneri, Katia 19 2014 Optimal proportional reinsurance and investment for stochastic factor models. Zbl 1410.91257 Brachetta, Matteo; Ceci, C. 18 2019 BSDEs under partial information and financial applications. Zbl 1329.60174 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 16 2014 Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034 Ceci, Claudia; Bassan, Bruno 14 2004 Filtering of a Markov jump process with counting observations. Zbl 0963.60080 Ceci, C.; Gerardi, A. 12 2000 A model for high frequency data under partial information: a filtering approach. Zbl 1184.91211 Ceci, Claudia; Gerardi, Anna 12 2006 Nonlinear filtering equation of a jump process with counting observations. Zbl 0981.60081 Ceci, Claudia; Gerardi, Anna 11 2001 Existence of optimal controls for partially observed jump processes. Zbl 1015.60075 Ceci, Claudia; Gerardi, Anna; Tardelli, Paola 11 2002 GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 10 2014 Pricing for geometric marked point processes under partial information: entropy approach. Zbl 1185.91172 Ceci, Claudia; Gerardi, Anna 9 2009 Utility maximization with intermediate consumption under restricted information for jump market models. Zbl 1262.91066 Ceci, Claudia 9 2012 Local risk-minimization under restricted information on asset prices. Zbl 1329.60112 Ceci, Claudia; Cretarola, Alessandra; Colaneri, Katia 7 2015 Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems. Zbl 0934.60077 Ceci, Claudia; Gerardi, Anna 7 1998 Unit-linked life insurance policies: optimal hedging in partially observable market models. Zbl 1395.91247 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 7 2017 Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070 Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio 7 2020 Utility indifference valuation for jump risky assets. Zbl 1273.91192 Ceci, Claudia; Gerardi, Anna 6 2011 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 6 2015 Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039 Bassan, Bruno; Ceci, Claudia 6 2002 A BSDE-based approach for the optimal reinsurance problem under partial information. Zbl 1452.91264 Brachetta, Matteo; Ceci, C. 6 2020 Utility-based hedging and pricing with a nontraded asset for jump processes. Zbl 1238.91067 Ceci, Claudia; Gerardi, Anna 5 2009 Wealth optimization and dual problems for jump stock dynamics with stochastic factor. Zbl 1211.91255 Ceci, Claudia; Gerardi, Anna 4 2010 Optimal control and filtering of the reproduction law of a branching process. Zbl 0926.60068 Ceci, Claudia; Gerardi, Anna 4 1999 Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029 Bassan, Bruno; Ceci, Claudia 4 2002 Filtering of a branching process given its split times. Zbl 0887.60083 Ceci, Claudia; Gerardi, Anna 4 1997 A benchmark approach to risk-minimization under partial information. Zbl 1296.91146 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 4 2014 Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. Zbl 1448.91293 Bo, Lijun; Ceci, Claudia 4 2020 The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 3 2017 Optimal investment-consumption for partially observed jump-diffusions. Zbl 1281.91140 Ceci, Claudia 3 2013 Optimal investment problems with marked point processes. Zbl 1246.91160 Ceci, Claudia 2 2011 Some results about stopping times of the marked tree space. Zbl 0893.60018 Ceci, C.; Gerardi, A.; Mazliak, L. 2 1996 Multitype branching processes observing particles of a given type. Zbl 1078.60064 Ceci, Claudia; Gerardi, Anna 2 2005 An estimate of the approximation error in the filtering of a discrete jump process. Zbl 1009.60030 Ceci, C.; Gerardi, A.; Tardelli, P. 2 2001 Optimal design in nonparametric life testing. Zbl 1060.62113 Ceci, C.; Mazliak, L. 2 2004 Une propriété forte de branchements. (A strong branching property). Zbl 0757.60083 Ceci, Claudia; Mazliak, Laurent 2 1992 Conditional law of a branching process observing a subpopulation. Zbl 1077.60060 Ceci, Claudia; Gerardi, Anna 2 2002 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 2 2022 An approximation method for controlled discrete jump processes under partial observations. Zbl 1005.93049 Ceci, Claudia; Gerardi, Anna; Tardelli, Paola 1 2001 Controlled partially observed jump processes: dynamics dependent on the observed history. Zbl 1042.49536 Ceci, Claudia; Gerardi, Anna 1 2001 Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 1 2020 Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258 Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena 1 2020 A stochastic control approach to public debt management. Zbl 1498.91267 Brachetta, M.; Ceci, C. 1 2022 Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Zbl 1492.91276 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 2 2022 A stochastic control approach to public debt management. Zbl 1498.91267 Brachetta, M.; Ceci, C. 1 2022 Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070 Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio 7 2020 A BSDE-based approach for the optimal reinsurance problem under partial information. Zbl 1452.91264 Brachetta, Matteo; Ceci, C. 6 2020 Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. Zbl 1448.91293 Bo, Lijun; Ceci, Claudia 4 2020 Indifference pricing of pure endowments via BSDEs under partial information. Zbl 1454.91171 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 1 2020 Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258 Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena 1 2020 Optimal proportional reinsurance and investment for stochastic factor models. Zbl 1410.91257 Brachetta, Matteo; Ceci, C. 18 2019 Unit-linked life insurance policies: optimal hedging in partially observable market models. Zbl 1395.91247 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 7 2017 The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 3 2017 Local risk-minimization under restricted information on asset prices. Zbl 1329.60112 Ceci, Claudia; Cretarola, Alessandra; Colaneri, Katia 7 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 6 2015 The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness. Zbl 1291.93303 Ceci, Claudia; Colaneri, Katia 19 2014 BSDEs under partial information and financial applications. Zbl 1329.60174 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 16 2014 GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 10 2014 A benchmark approach to risk-minimization under partial information. Zbl 1296.91146 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra 4 2014 Optimal investment-consumption for partially observed jump-diffusions. Zbl 1281.91140 Ceci, Claudia 3 2013 Nonlinear filtering for jump diffusion observations. Zbl 1251.93123 Ceci, Claudia; Colaneri, Katia 23 2012 Utility maximization with intermediate consumption under restricted information for jump market models. Zbl 1262.91066 Ceci, Claudia 9 2012 Utility indifference valuation for jump risky assets. Zbl 1273.91192 Ceci, Claudia; Gerardi, Anna 6 2011 Optimal investment problems with marked point processes. Zbl 1246.91160 Ceci, Claudia 2 2011 Wealth optimization and dual problems for jump stock dynamics with stochastic factor. Zbl 1211.91255 Ceci, Claudia; Gerardi, Anna 4 2010 Pricing for geometric marked point processes under partial information: entropy approach. Zbl 1185.91172 Ceci, Claudia; Gerardi, Anna 9 2009 Utility-based hedging and pricing with a nontraded asset for jump processes. Zbl 1238.91067 Ceci, Claudia; Gerardi, Anna 5 2009 Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362 Ceci, Claudia 19 2006 A model for high frequency data under partial information: a filtering approach. Zbl 1184.91211 Ceci, Claudia; Gerardi, Anna 12 2006 Multitype branching processes observing particles of a given type. Zbl 1078.60064 Ceci, Claudia; Gerardi, Anna 2 2005 Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034 Ceci, Claudia; Bassan, Bruno 14 2004 Optimal design in nonparametric life testing. Zbl 1060.62113 Ceci, C.; Mazliak, L. 2 2004 Existence of optimal controls for partially observed jump processes. Zbl 1015.60075 Ceci, Claudia; Gerardi, Anna; Tardelli, Paola 11 2002 Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039 Bassan, Bruno; Ceci, Claudia 6 2002 Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029 Bassan, Bruno; Ceci, Claudia 4 2002 Conditional law of a branching process observing a subpopulation. Zbl 1077.60060 Ceci, Claudia; Gerardi, Anna 2 2002 Nonlinear filtering equation of a jump process with counting observations. Zbl 0981.60081 Ceci, Claudia; Gerardi, Anna 11 2001 An estimate of the approximation error in the filtering of a discrete jump process. Zbl 1009.60030 Ceci, C.; Gerardi, A.; Tardelli, P. 2 2001 An approximation method for controlled discrete jump processes under partial observations. Zbl 1005.93049 Ceci, Claudia; Gerardi, Anna; Tardelli, Paola 1 2001 Controlled partially observed jump processes: dynamics dependent on the observed history. Zbl 1042.49536 Ceci, Claudia; Gerardi, Anna 1 2001 Filtering of a Markov jump process with counting observations. Zbl 0963.60080 Ceci, C.; Gerardi, A. 12 2000 Optimal control and filtering of the reproduction law of a branching process. Zbl 0926.60068 Ceci, Claudia; Gerardi, Anna 4 1999 Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems. Zbl 0934.60077 Ceci, Claudia; Gerardi, Anna 7 1998 Filtering of a branching process given its split times. Zbl 0887.60083 Ceci, Claudia; Gerardi, Anna 4 1997 Some results about stopping times of the marked tree space. Zbl 0893.60018 Ceci, C.; Gerardi, A.; Mazliak, L. 2 1996 Une propriété forte de branchements. (A strong branching property). Zbl 0757.60083 Ceci, Claudia; Mazliak, Laurent 2 1992 all cited Publications top 5 cited Publications all top 5 Cited by 201 Authors 28 Ceci, Claudia 15 Gerardi, Anna 14 Colaneri, Katia 12 Tardelli, Paola 8 Cretarola, Alessandra 6 Shamolin, Maksim Vladimirovich 5 Brachetta, Matteo 5 Ferrari, Giorgio 5 Russo, Francesco 4 Frey, Rüdiger 4 Qian, Linyi 3 Barucci, Emilio 3 Bayraktar, Erhan 3 Borisov, Andrei V. 3 Calvia, Alessandro 3 Li, Xun 3 Ma, Jingtang 3 Marazzina, Daniele 3 Qiao, Huijie 3 Rodosthenous, Neofytos 3 Yang, Zhixin 3 Yao, Song 3 Yi, Fahuai 3 Zeng, Yong 2 Antonelli, Fabio 2 Averina, Tat’yana Aleksandrovna 2 Bandini, Elena 2 Bo, Lijun 2 Callegaro, Giorgia 2 Chen, Lv 2 Eksi, Zehra 2 Han, Xia 2 Lee, Junbeom 2 Lee, Kiseop 2 Li, Danping 2 Liang, Zhibin 2 Maroulas, Vasileios 2 Okhrati, Ramin 2 Pan, Xiaoyang 2 Rybakov, Konstantin Aleksandrovich 2 Semenikhin, Konstantin V. 2 Stettner, Łukasz 2 Wang, Wei 2 Wong, Hoi Ying 2 Xie, Lin 2 Xing, Jie 2 Xiong, Jie 2 Yuan, Yu 2 Zhou, Chao 1 Abergel, Frédéric 1 Altay, Sühan 1 Angelini, Flavio 1 Bagdonavičius, Vilijandas B. 1 Bai, Yanfei 1 Baldeaux, Jan 1 Bensalem, Sarah 1 Bernhardt, Thomas 1 Castellano, Rosella 1 Cerqueti, Roy 1 Çetin, Umut 1 Chakraborty, Prakash 1 Cheang, Gerald H. L. 1 Chen, Dengsheng 1 Chen, Kexin 1 Chen, Shumin 1 Chen, Xiaoshan 1 Chiarella, Carl 1 Claisse, Julien 1 Cui, Zhenyu 1 Da Fonseca, José 1 Dammann, Felix 1 De Angelis, Tiziano 1 Di Nunno, Giulia 1 Duan, Jinqiao 1 Federico, Salvatore 1 Fernando, B. P. W. 1 Fryer, Roland G. jun. 1 Fung, Man Chung 1 Gaigi, M’hamed 1 Gao, Rui 1 Gapeev, Pavel V. 1 Ghoussoub, Nassif A. 1 Gu, Ailing 1 Guan, Chonghu 1 Guerra, Manuel 1 Hata, Hiroaki 1 Hausenblas, Erika 1 Hdhiri, Ibtissam 1 Hernández-Santibáñez, Nicolás 1 Herzel, Stefano 1 Hu, Duni 1 Hu, Grace X. 1 Ibrahim, Dalia 1 Ignatieva, Katja 1 Jakubowski, Jacek 1 Jasso-Fuentes, Héctor 1 Jelito, Damian 1 Jeon, Junkee 1 Jian, Xiongfei 1 Karatzas, Ioannis ...and 101 more Authors all top 5 Cited in 59 Serials 12 Stochastic Processes and their Applications 10 Insurance Mathematics & Economics 9 International Journal of Theoretical and Applied Finance 8 Applied Mathematics and Optimization 7 Stochastics 6 Vestnik Samarskogo Universiteta. Estestvennonauchnaya Seriya 5 Journal of Applied Probability 5 Automation and Remote Control 4 Acta Applicandae Mathematicae 4 Communications in Statistics. Theory and Methods 4 Finance and Stochastics 4 Journal of Industrial and Management Optimization 4 SIAM Journal on Financial Mathematics 3 Advances in Applied Probability 3 Journal of Mathematical Analysis and Applications 3 SIAM Journal on Control and Optimization 3 European Journal of Operational Research 3 Applied Mathematical Finance 3 Probability in the Engineering and Informational Sciences 3 Scandinavian Actuarial Journal 3 Quantitative Finance 3 Decisions in Economics and Finance 2 Applied Mathematics and Computation 2 Mathematics of Operations Research 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 2 Electronic Journal of Probability 2 Stochastics and Dynamics 2 Mathematics and Financial Economics 1 International Journal of Control 1 Theory of Probability and its Applications 1 The Annals of Probability 1 Automatica 1 Journal of Computational and Applied Mathematics 1 Journal of Statistical Planning and Inference 1 Stochastic Analysis and Applications 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 The Annals of Applied Probability 1 Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences 1 Journal of Computer and Systems Sciences International 1 Calculus of Variations and Partial Differential Equations 1 Russian Journal of Numerical Analysis and Mathematical Modelling 1 Bulletin des Sciences Mathématiques 1 Bernoulli 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 Communications in Nonlinear Science and Numerical Simulation 1 Methodology and Computing in Applied Probability 1 Applied Stochastic Models in Business and Industry 1 Brazilian Journal of Probability and Statistics 1 Differentsial’nye Uravneniya i Protsessy Upravleniya 1 Hacettepe Journal of Mathematics and Statistics 1 Computational Management Science 1 Mathematical Control and Related Fields 1 SIAM/ASA Journal on Uncertainty Quantification 1 Electronic Research Archive all top 5 Cited in 13 Fields 110 Probability theory and stochastic processes (60-XX) 92 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 67 Systems theory; control (93-XX) 20 Calculus of variations and optimal control; optimization (49-XX) 11 Statistics (62-XX) 8 Operations research, mathematical programming (90-XX) 7 Partial differential equations (35-XX) 6 Numerical analysis (65-XX) 2 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Mechanics of particles and systems (70-XX) 1 Biology and other natural sciences (92-XX) Citations by Year