Campi, Luciano

Number of items: 22.
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  • Campi, Luciano, de Angelis, Tiziano, Ghio, Maddalena, Livieri, Giulia (2022). Mean-field games of finite-fuel capacity expansion with singular controls. Annals of Applied Probability, 32(5), 3674-3717. https://doi.org/10.1214/21-AAP1771
  • Campi, Luciano, Ghio, Maddalena, Livieri, Giulia (2021). N-Player games and mean-field games with smooth dependence on past absorptions. Annales de l'institut Henri Poincare (B) Probability and Statistics, 57(4), 1901-1939. https://doi.org/10.1214/20-AIHP1138
  • Benedetti, Giuseppe, Campi, Luciano, Kallsen, Jan, Muhle-Karbe, Johannes (2013). On the existence of shadow prices. Finance and Stochastics, 17(4), 801-818. https://doi.org/10.1007/s00780-012-0201-4
  • Aïd, René, Campi, Luciano, Langrené, Nicolas (2013). A structural risk-neutral model for pricing and hedging electricity derivatives. Mathematical Finance, 23(3), 387-438. https://doi.org/10.1111/j.1467-9965.2011.00507.x
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Equilibrium model with default and dynamic insider information. Finance and Stochastics, 17(347), 565-585. https://doi.org/10.1007/s00780-012-0196-x
  • Benedetti, Giuseppe, Campi, Luciano (2012). Multivariate utility maximization with proportional transaction costs and random endowment. SIAM Journal on Control and Optimization, 50(3), 1283-1308. https://doi.org/10.1137/110831064
  • Campi, Luciano, Owen, Mark P. (2011). Multivariate utility maximization with proportional transaction costs. Finance and Stochastics, 15(3), 461-499. https://doi.org/10.1007/s00780-010-0125-9
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  • Aïd, René, Bonesini, Ofelia, Callegaro, Giorgia, Campi, Luciano (2025). Continuous-time persuasion by filtering. Journal of Economic Dynamics and Control, 176, https://doi.org/10.1016/j.jedc.2025.105100 picture_as_pdf
  • Campi, Luciano, De Santis, Davide (2020). Nonzero-sum stochastic differential games between an impulse controller and a stopper. Journal of Optimization Theory and Applications, 186(2), 688 - 724. https://doi.org/10.1007/s10957-020-01718-6 picture_as_pdf
  • Aïd, René, Callegaro, Giorgia, Campi, Luciano (2020). No-arbitrage commodity option pricing with market manipulation. Mathematics and Financial Economics, 14(3), 577 - 603. https://doi.org/10.1007/s11579-020-00265-y picture_as_pdf
  • Campi, Luciano, Zabaljauregui, Diego (2020). Optimal market making under partial information with general intensities. Applied Mathematical Finance, 27(1-2), 1 - 45. https://doi.org/10.1080/1350486X.2020.1758587 picture_as_pdf
  • Aïd, René, Basei, Matteo, Callegaro, Giorgia, Campi, Luciano, Vargiolu, Tiziano (2020). Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications. Mathematics of Operations Research, 45(1), 205 - 232. https://doi.org/10.1287/moor.2019.0989 picture_as_pdf
  • Bennazoli, Chiara, Campi, Luciano, Di Persio, Luca (2019). ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps. Statistics and Probability Letters, 154, https://doi.org/10.1016/j.spl.2019.05.021 picture_as_pdf
  • Campi, Luciano, Martini, Claude (2019). On the support of extremal martingale measures with given marginals: the countable case. Advances in Applied Probability, 51(2), 570-605. https://doi.org/10.1017/apr.2019.16 picture_as_pdf
  • Campi, Luciano, Fischer, Markus (2018). N-player games and mean-field games with absorption. Annals of Applied Probability, 28(4), 2188-2242. https://doi.org/10.1214/17-AAP1354
  • Campi, Luciano, Laachir, Ismail, Martini, Claude (2017). Change of numeraire in the two-marginals martingale transport problem. Finance and Stochastics, 21(2), 471-486. https://doi.org/10.1007/s00780-016-0322-2
  • Callegaro, Giorgia, Campi, Luciano, Giusto, Valeria, Vargiolu, Tiziano (2017). Utility indifference pricing and hedging for structured contracts in energy markets. Mathematical Methods of Operations Research, 85(2), 265-303. https://doi.org/10.1007/s00186-016-0569-6
  • Benedetti, Giuseppe, Campi, Luciano (2016). Utility indifference valuation for non-smooth payoffs with an application to power derivatives. Applied Mathematics and Optimization, 73(2), 349-389. https://doi.org/10.1007/s00245-015-9306-4
  • Aïd, René, Campi, Luciano, Langrené, Nicolas, Pham, Huyên (2014). A probabilistic numerical method for optimal multiple switching problems in high dimension. SIAM Journal on Financial Mathematics, 5(1), 191-231. https://doi.org/10.1137/120897298
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Explicit construction of a dynamic Bessel bridge of dimension 3. Electronic Journal of Probability, 18(20), 1-25. https://doi.org/10.1214/EJP.v18-1907
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2011). Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and Their Applications, 121(3), 534-567. https://doi.org/10.1016/j.spa.2010.11.004
  • Campi, Luciano, Çetin, Umut (2007). Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance and Stochastics, 11(4), 591-602. https://doi.org/10.1007/s00780-007-0038-4