Paul Gassiat

According to our database, Paul Gassiat authored at least 4 papers between 2014 and 2023.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2023

Weak Error Rates of Numerical Schemes for Rough Volatility.

Paul Gassiat

SIAM J. Financial Math., June, 2023

2015

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

Salvatore Federico, Paul Gassiat, Fausto Gozzi

Finance Stochastics, 2015

2014

Investment/Consumption Problem in Illiquid Markets with Regime-Switching.

Paul Gassiat, Fausto Gozzi, Huyên Pham

SIAM J. Control. Optim., 2014

Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset.

Salvatore Federico, Paul Gassiat

J. Optim. Theory Appl., 2014