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Author ID: ceci.claudia Recent zbMATH articles by "Ceci, Claudia"
Published as: Ceci, Claudia; Ceci, C.

Publications by Year

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 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

Citations by Year