Fausto Gozzi

According to our database1, Fausto Gozzi authored at least 21 papers between 1999 and 2021.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2021
From firm to global-level pollution control: The case of transboundary pollution.
Eur. J. Oper. Res., 2021

2020
Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case.
SIAM J. Control. Optim., 2020

2017
Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks.
SIAM J. Control. Optim., 2017

Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing.
SIAM J. Control. Optim., 2017

Minimum energy for linear systems with finite horizon: a non-standard Riccati equation.
Math. Control. Signals Syst., 2017

Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension.
J. Optim. Theory Appl., 2017

2015
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation.
Finance Stochastics, 2015

2014
Investment/Consumption Problem in Illiquid Markets with Regime-Switching.
SIAM J. Control. Optim., 2014

Endogenous growth and wave-like business fluctuations.
J. Econ. Theory, 2014

Income drawdown option with minimum guarantee.
Eur. J. Oper. Res., 2014

2011
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks.
SIAM J. Control. Optim., 2011

Pension funds with a minimum guarantee: a stochastic control approach.
Finance Stochastics, 2011

Optimal consumption policies in illiquid markets.
Finance Stochastics, 2011

2010
Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions".
SIAM J. Control. Optim., 2010

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions.
SIAM J. Control. Optim., 2010

2009
On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects.
J. Optimization Theory and Applications, 2009

2008
Solving optimal growth models with vintage capital: The dynamic programming approach.
J. Econ. Theory, 2008

2005
A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions.
SIAM J. Control. Optim., 2005

2002
Superreplication of European multiasset derivatives with bounded stochastic volatility.
Math. Methods Oper. Res., 2002

2000
Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control.
SIAM J. Control. Optim., 2000

1999
Optimal advertising with a continuum of goods.
Ann. Oper. Res., 1999


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