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)

Investment/Consumption Problem in Illiquid Markets with Regime-Switching. - Paul Gassiat; Fausto Gozzi; Huyên Pham (SIAM J. Control. Optim., 2014)

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. - Salvatore Federico; Paul Gassiat; Fausto Gozzi (Finance Stochastics, 2015)

Weak Error Rates of Numerical Schemes for Rough Volatility. - Paul Gassiat (SIAM J. Financial Math., 2023)