Publications · Alberto Gennaro

Publications & preprints

A current list of papers. The most complete reference is my Google Scholar profile; code accompanying papers lives on GitHub.

2BSDE with uncertain horizon and application to stochastic control in erratic environments

A. Gennaro

Preprint · arXiv:2506.15037 · 2025

Existence/uniqueness for non-Markovian 2BSDEs with an uncertain terminal horizon; framework for robust stochastic control under volatility and time uncertainty.

arXiv PDF

Delegated portfolio management with random default

A. Gennaro, T. Mastrolia

To appear in Mathematical Finance · arXiv:2410.13103 · 2024

Principal–agent problem with a Second Order BSDE under default risk; derive a new HJB PDE and solve it numerically with an iterative PINN.

arXiv PDF Code

Get in touch

Email

(my name) dot (my last name) (at) (berkeley dot edu)

Best for collaboration, research questions, and CV requests.

Google Scholar GitHub