Fausto Gozzi

发表

Optimal consumption policies in illiquid markets

Huyên Pham, Peter Tankov, Alessandra Cretarola, 2011, Finance Stochastics.

Solving optimal growth models with vintage capital: The dynamic programming approach

Fausto Gozzi, Giorgio Fabbri, Fausto Gozzi, 2008, J. Econ. Theory.

Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing

Fausto Gozzi, Federica Masiero, Fausto Gozzi, 2016, SIAM J. Control. Optim..

Optimal advertising under uncertainty with carryover effects

Sergei Savin, Carlo Marinelli, Fausto Gozzi, 2009 .

Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions"

Xun Yu Zhou, Fausto Gozzi, Andrzej Swiech, 2010, SIAM J. Control. Optim..

Pension funds with a minimum guarantee: a stochastic control approach

Salvatore Federico, Fausto Gozzi, Marina Di Giacinto, 2008, Finance Stochastics.

Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control

Elisabeth Rouy, Fausto Gozzi, Andrzej Swiech, 2000, SIAM J. Control. Optim..

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions

Salvatore Federico, Fausto Gozzi, Ben Goldys, 2010, SIAM J. Control. Optim..

Income drawdown option with minimum guarantee

Salvatore Federico, Fausto Gozzi, Marina Di Giacinto, 2014, Eur. J. Oper. Res..

Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case

Fausto Gozzi, Cecilia Prosdocimi, Enrico Biffis, 2020, SIAM J. Control. Optim..

Endogenous growth and wave-like business fluctuations

Fausto Gozzi, Omar Licandro, Mauro Bambi, 2014, J. Econ. Theory.

From firm to global-level pollution control: The case of transboundary pollution

Salvatore Federico, Raouf Boucekkine, Fausto Gozzi, 2021, Eur. J. Oper. Res..

On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects

Sergei Savin, Carlo Marinelli, Fausto Gozzi, 2007, J. Optimization Theory and Applications.

Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension

Fausto Gozzi, Mauro Bambi, Emmanuelle Augeraud-Veron, 2017, J. Optim. Theory Appl..

A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions

Xun Yu Zhou, Fausto Gozzi, Andrzej Swiech, 2005, SIAM J. Control. Optim..

Investment/Consumption Problem in Illiquid Markets with Regime-Switching

Huyên Pham, Fausto Gozzi, Paul Gassiat, 2011, SIAM J. Control. Optim..

Optimal policy and consumption smoothing effects in the time-to-build AK model

Fausto Gozzi, Giorgio Fabbri, Mauro Bambi, 2010, Economic Theory.

Mathematical Tools for Economic Dynamics: Dynamic Optimization

Fausto Gozzi, Fausto Gozzi, 2012 .

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks

Salvatore Federico, Fausto Gozzi, Ben Goldys, 2011, SIAM J. Control. Optim..

Superreplication of European multiasset derivatives with bounded stochastic volatility

Tiziano Vargiolu, Fausto Gozzi, 2002, Math. Methods Oper. Res..

Assessment of probabilistic models for the estimation of accident propagation hazards

Valerio Cozzani, Severino Zanelli, Fausto Gozzi, 2001 .

Optimal advertising with a continuum of goods

Emilio Barucci, Fausto Gozzi, E. Barucci, 1999, Ann. Oper. Res..

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Salvatore Federico, Fausto Gozzi, Paul Gassiat, 2013, Finance Stochastics.

Stochastic Control Problems with Unbounded Control Operators: solutions through generalized derivatives

Fausto Gozzi, Federica Masiero, 2021 .

Optimal Portfolio Choice With Path-Dependent Labor Income: Finite Retirement Time

Fausto Gozzi, Enrico Biffis, Margherita Zanella, 2021, SSRN Electronic Journal.

Optimal dividend payout under stochastic discounting

Giorgio Ferrari, Fausto Gozzi, Tiziano De Angelis, 2020, Mathematical Finance.

A dynamic theory of spatial externalities

Raouf Boucekkine, Salvatore Federico, Fausto Gozzi, 2020, Games Econ. Behav..

State Constrained Control Problems in Banach Lattices and Applications

Salvatore Federico, Fausto Gozzi, Alessandro Calvia, 2020, SIAM J. Control. Optim..

Minimum energy with infinite horizon: From stationary to non-stationary states

Fausto Gozzi, Paolo Acquistapace, Fausto Gozzi, 2021, Nonlinear Analysis: Real World Applications.

Errata: Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing, and Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

Fausto Gozzi, Federica Masiero, Fausto Gozzi, 2021, SIAM J. Control. Optim..

A Stochastic Model of Economic Growth in Time-Space

Fausto Gozzi, Marta Leocata, 2021 .

Robust Portfolio Choice With Sticky Wages

Sara Biagini, Fausto Gozzi, Margherita Zanella, 2021 .

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

Francesco Russo, Fausto Gozzi, Andrea Cosso, 2021 .

Optimal portfolio choice with path dependent benchmarked labor income: A mean field model

Boualem Djehiche, Fausto Gozzi, Giovanni Zanco, 2020, Stochastic Processes and their Applications.

Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions

Huyen Pham, Fausto Gozzi, Idris Kharroubi, 2021 .

Viscosity solutions of dynamic programming equations for optimal control of Navier-Stokes equations.

Fausto Gozzi, Sri Sritharan, Andrzej Swiech, 2002 .

Some results for an infinite horizon control problem governed by a semilinear state equation.

Fausto Gozzi, 1989 .

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity and Applications. ∗

Salvatore Federico, Fausto Gozzi, S. Federico, 2009, 0905.1825.

Stochastic optimal control in infinite dimension : dynamic programming and HJB equations

Fausto Gozzi, Giorgio Fabbri, Andrzej Święch, 2017 .

Hamilton–Jacobi–Bellman Equations for the Optimal Control of the Duncan–Mortensen–Zakai Equation☆☆☆

Fausto Gozzi, Andrzej Święch, A. Swiech, 2000 .

Optimal investment models with vintage capital: Dynamic programming approach

Silvia Faggian, Fausto Gozzi, Fausto Gozzi, 2010 .

A boundary-value problem for Hamilton-Jacobi equations in hilbert spaces

Piermarco Cannarsa, Halil Mete Soner, Fausto Gozzi, 1991 .

On the Dynamic Programming approach to economic models governed by DDE's

Silvia Faggian, Fausto Gozzi, Giorgio Fabbri, 2006 .

Stochastic optimal control of delay equations arising in advertising models

Carlo Marinelli, Fausto Gozzi, Fausto Gozzi, 2004, math/0412403.

Some results for an optimal control problem with semilinear state equation

Fausto Gozzi, 1991 .

A spatiotemporal framework for the analytical study of optimal growth under transboundary pollution

Raouf Boucekkine, Salvatore Federico, Fausto Gozzi, 2019 .

Geographic environmental Kuznets curves: the optimal growth linear-quadratic case

Raouf Boucekkine, Salvatore Federico, Fausto Gozzi, 2019, Mathematical Modelling of Natural Phenomena.

Dynamic programming for infinite horizon boundary control problems of PDE's with age structure

Silvia Faggian, Fausto Gozzi, 2008 .

Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching

Huyên Pham, Fausto Gozzi, Paul Gassiat, 2014 .

Incentive compatibility constraints and dynamic programming in continuous time

Emilio Barucci, Fausto Gozzi, E. Barucci, 2000 .

Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: approach

Fausto Gozzi, Fausto Gozzi, Benjamin Goldys, 2006 .

Path-dependent equations and viscosity solutions in infinite dimension

Nizar Touzi, Salvatore Federico, Fausto Gozzi, 2015, 1502.05648.

Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem

Fausto Gozzi, Fausto Gozzi, 1995 .

Regular Solutions of Second-Order Stationary Hamilton-Jacobi Equations

Elisabeth Rouy, Fausto Gozzi, E. Rouy, 1996 .

Global Regular Solutions of Second Order Hamilton–Jacobi Equations in Hilbert Spaces with Locally Lipschitz Nonlinearities

Fausto Gozzi, Fausto Gozzi, 1996 .

Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan

Salvatore Federico, Fausto Gozzi, Elena Vigna, 2010 .

Vintage Capital in the AK Growth Model: A Dynamic Programming Approach - Extended version

Fausto Gozzi, Giorgio Fabbri, Fausto Gozzi, 2006 .

A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES

Massimo Bernaschi, Simone Sbaraglia, Maya Briani, 2003 .

Egalitarianism under population change: age structure does matter

Raouf Boucekkine, Fausto Gozzi, Giorgio Fabbri, 2014 .

Regularity of the Minimum Time Function and Minimum Energy Problems: The Linear Case

Paola Loreti, Fausto Gozzi, P. Loreti, 1999 .

Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition

Francesco Russo, Fausto Gozzi, F. Russo, 2006, math/0604327.

Investment in a vintage capital model

Emilio Barucci, Fausto Gozzi, E. Barucci, 1998 .

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations ∗

Salvatore Federico, Fausto Gozzi, S. Federico, 2009, 0907.1603.

Maintenance and investment: Complements or substitutes? A reappraisal

Raouf Boucekkine, Fausto Gozzi, Giorgio Fabbri, 2010 .

Growth and agglomeration in the heterogeneous space: a generalized AK approach

Raouf Boucekkine, Salvatore Federico, Fausto Gozzi, 2018, Journal of Economic Geography.

Technology adoption and accumulation in a vintage-capital model

Emilio Barucci, Fausto Gozzi, E. Barucci, 2001 .

Optimality Conditions for Dirichlet Boundary Control Problems of Parabolic Type.

Fausto Gozzi, Fausto Gozzi, M. E. Tessitore, 1998 .

IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION

Salvatore Federico, Fausto Gozzi, Paul Gassiat, 2012, 1211.1285.