Luciano Campi

16 papers Journal 16
YearRankTypeTitle / Venue / Authors
2025 J jnl
Correlated Equilibria for Mean Field Games with Progressive Strategies.
Math. Oper. Res.
Ofelia Bonesini, Luciano Campi, Markus Fischer
2024 J jnl
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts.
Ann. Oper. Res.
Clémence Alasseur, Luciano Campi, Roxana Dumitrescu, Jia Zeng
2022 J jnl
Correlated Equilibria and Mean Field Games: A Simple Model.
Math. Oper. Res.
Luciano Campi, Markus Fischer
2021 J jnl
An Impulse-Regime Switching Game Model of Vertical Competition.
Dyn. Games Appl.
René Aïd, Luciano Campi, Liangchen Li, Mike Ludkovski
2020 J jnl
Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper.
J. Optim. Theory Appl.
Luciano Campi, Davide De Santis
2020 J jnl
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.
Math. Oper. Res.
René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu
2017 J jnl
Change of numeraire in the two-marginals martingale transport problem.
Finance Stochastics
Luciano Campi, Ismail Laachir, Claude Martini
2017 J jnl
Utility indifference pricing and hedging for structured contracts in energy markets.
Math. Methods Oper. Res.
Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu
2014 J jnl
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension.
SIAM J. Financial Math.
René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham
2013 J jnl
Equilibrium model with default and dynamic insider information.
Finance Stochastics
Luciano Campi, Umut Çetin, Albina Danilova
2013 J jnl
On the existence of shadow prices.
Finance Stochastics
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
2012 J jnl
Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment.
SIAM J. Control. Optim.
Giuseppe Benedetti, Luciano Campi
2012 J jnl
Weak Insider Trading and Behavioral Finance.
SIAM J. Financial Math.
Luciano Campi, M. Del Vigna
2011 J jnl
Multivariate utility maximization with proportional transaction costs.
Finance Stochastics
Luciano Campi, Mark P. Owen
2007 J jnl
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling.
Finance Stochastics
Luciano Campi, Umut Çetin
2006 J jnl
A super-replication theorem in Kabanov's model of transaction costs.
Finance Stochastics
Luciano Campi, Walter Schachermayer