papers
Publications (19)
q-fin.PM2012
Investment/consumption problem in illiquid markets with regime-switching
Paul Gassiat, Fausto Gozzi, Huyên Pham
math.OC2014
On the equivalence of internal and external habit formation models with finite memory
Emmanuelle Augeraud-Veron, Mauro Bambi, Fausto Gozzi
math.OC2019
Optimal Investment with Vintage Capital:Equilibrium Distributions
Silvia Faggian, Fausto Gozzi, Peter M. Kort
math.PR2015
Stochastic Optimal Control with Delay in the Control: solution through partial smoothing
Fausto Gozzi, Federica Masiero
math.PR2008
Optimal consumption policies in illiquid markets
Alessandra Cretarola, Fausto Gozzi, Huyên Pham +1
math.PR2006
Weak Dirichlet processes with a stochastic control perspective
Fausto Gozzi, Francesco Russo
math.OC2017
Minimum energy for linear systems with finite horizon: a non-standard Riccati equation
Paolo Acquistapace, Fausto Gozzi
math.PR2006
Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition
Fausto Gozzi, Francesco Russo
math.OC2018
Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
Salvatore Federico, Fausto Gozzi
math.OC2008
On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
Fausto Gozzi, Carlo Marinelli, Sergei Savin
q-fin.PM2015
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
math.PR2017
Path-dependent equations and viscosity solutions in infinite dimension
Andrea Cosso, Salvatore Federico, Fausto Gozzi +2
math.OC2009
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints: Regularity and Applications
Salvatore Federico, Ben Goldys, Fausto Gozzi
math.OC2008
Dynamic programming for infinite horizon boundary control problems of PDE's with age structure
Silvia Faggian, Fausto Gozzi
math.AP2017
Mild solutions of semilinear elliptic equations in Hilbert spaces
Salvatore Federico, Fausto Gozzi
q-fin.PM2015
Impact of time illiquidity in a mixed market without full observation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
math.OC2009
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations
Salvatore Federico, Ben Goldys, Fausto Gozzi
math.OC2006
On the Dynamic Programming approach to economic models governed by DDE's
Giorgio Fabbri, Silvia Faggian, Fausto Gozzi
math.OC2004
Stochastic optimal control of delay equations arising in advertising models
Fausto Gozzi, Carlo Marinelli