Fausto Gozzi

According to our database1, Fausto Gozzi authored at least 18 papers between 1999 and 2017.

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

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

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

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

Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension.
J. Optimization Theory and Applications, 2017

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

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

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

Income drawdown option with minimum guarantee.
European Journal of Operational Research, 2014

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

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

Optimal consumption policies in illiquid markets.
Finance and Stochastics, 2011

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

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions.
SIAM J. Control and Optimization, 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. Economic Theory, 2008

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

2002
Superreplication of European multiasset derivatives with bounded stochastic volatility.
Math. Meth. of OR, 2002

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

1999
Optimal advertising with a continuum of goods.
Annals OR, 1999


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