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Paola Siri

Publications and source records attributed to Paola Siri.

3 recordsLinked to original sources

Stochastic ordering tools for continuous-time Markov chains and applications to reaction network models

Stochastic reaction networks are mathematical models with a wide range of applications in biochemistry, ecology, and epidemiology, and are often complex to analyze. Except for some special cases, it is generally difficult to predict how the abundances of all considered species evolve over time. A possible approach to address this issue is to develop tools to compare the model under study with a similar one whose behavior is better understood. The main contribution of our work is to provide direct and computable conditions that can be used to ensure the existence of an ordered coupling between two stochastic reaction networks and to identify which parameter changes in a given model lead to an increase or decrease in the count of certain species. We also make available an algorithm that implements our theory, and we illustrate it with several applications.

math.PR↗

Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.

q-fin.MF↗

New results on mixture and exponential models by Orlicz spaces

New results and improvements in the study of nonparametric exponential and mixture models are proposed. In particular, different equivalent characterizations of maximal exponential models, in terms of open exponential arcs and Orlicz spaces, are given. Our theoretical results are supported by several examples and counterexamples and provide an answer to some open questions in the literature.

math.ST↗