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Fausto Gozzi
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Journal Articles
- 2023
- [j28]Alessandro Calvia
, Gianluca Cappa, Fausto Gozzi, Enrico Priola:
HJB Equations and Stochastic Control on Half-Spaces of Hilbert Spaces. J. Optim. Theory Appl. 198(2): 710-744 (2023) - [j27]Fausto Gozzi
, Federica Masiero
:
Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives. SIAM J. Control. Optim. 61(2): 586-619 (2023) - 2022
- [j26]Raouf Boucekkine
, Giorgio Fabbri, Salvatore Federico
, Fausto Gozzi
:
A dynamic theory of spatial externalities. Games Econ. Behav. 132: 133-165 (2022) - [j25]Fausto Gozzi
, Marta Leocata:
A Stochastic Model of Economic Growth in Time-Space. SIAM J. Control. Optim. 60(2): 620-651 (2022) - [j24]Sara Biagini, Fausto Gozzi
, Margherita Zanella:
Robust Portfolio Choice with Sticky Wages. SIAM J. Financial Math. 13(3): 1004-1039 (2022) - 2021
- [j23]Raouf Boucekkine, Giorgio Fabbri, Salvatore Federico, Fausto Gozzi
:
From firm to global-level pollution control: The case of transboundary pollution. Eur. J. Oper. Res. 290(1): 331-345 (2021) - [j22]Fausto Gozzi
, Federica Masiero:
Errata: Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing, and Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks. SIAM J. Control. Optim. 59(4): 3096-3101 (2021) - [j21]Alessandro Calvia
, Salvatore Federico, Fausto Gozzi
:
State Constrained Control Problems in Banach Lattices and Applications. SIAM J. Control. Optim. 59(6): 4481-4510 (2021) - 2020
- [j20]Enrico Biffis
, Fausto Gozzi, Cecilia Prosdocimi:
Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case. SIAM J. Control. Optim. 58(4): 1906-1938 (2020) - 2017
- [j19]Emmanuelle Augeraud-Veron
, Mauro Bambi
, Fausto Gozzi
:
Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension. J. Optim. Theory Appl. 173(2): 584-611 (2017) - [j18]Paolo Acquistapace, Fausto Gozzi:
Minimum energy for linear systems with finite horizon: a non-standard Riccati equation. Math. Control. Signals Syst. 29(4): 19:1-19:47 (2017) - [j17]Fausto Gozzi, Federica Masiero:
Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing. SIAM J. Control. Optim. 55(5): 2981-3012 (2017) - [j16]Fausto Gozzi, Federica Masiero:
Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks. SIAM J. Control. Optim. 55(5): 3013-3038 (2017) - 2015
- [j15]Salvatore Federico
, Paul Gassiat, Fausto Gozzi:
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. Finance Stochastics 19(2): 415-448 (2015) - 2014
- [j14]Marina Di Giacinto
, Salvatore Federico
, Fausto Gozzi, Elena Vigna:
Income drawdown option with minimum guarantee. Eur. J. Oper. Res. 234(3): 610-624 (2014) - [j13]Mauro Bambi
, Fausto Gozzi, Omar Licandro:
Endogenous growth and wave-like business fluctuations. J. Econ. Theory 154: 68-111 (2014) - [j12]Paul Gassiat, Fausto Gozzi, Huyên Pham:
Investment/Consumption Problem in Illiquid Markets with Regime-Switching. SIAM J. Control. Optim. 52(3): 1761-1786 (2014) - 2011
- [j11]Alessandra Cretarola
, Fausto Gozzi, Huyên Pham, Peter Tankov:
Optimal consumption policies in illiquid markets. Finance Stochastics 15(1): 85-115 (2011) - [j10]Marina Di Giacinto
, Salvatore Federico
, Fausto Gozzi:
Pension funds with a minimum guarantee: a stochastic control approach. Finance Stochastics 15(2): 297-342 (2011) - [j9]Salvatore Federico
, Ben Goldys
, Fausto Gozzi:
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks. SIAM J. Control. Optim. 49(6): 2378-2414 (2011) - 2010
- [j8]Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou:
Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions". SIAM J. Control. Optim. 48(6): 4177-4179 (2010) - [j7]Salvatore Federico
, Ben Goldys
, Fausto Gozzi:
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions. SIAM J. Control. Optim. 48(8): 4910-4937 (2010) - 2009
- [j6]Fausto Gozzi, Carlo Marinelli, Sergei Savin
:
On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects. J. Optimization Theory and Applications 142(2): 291-321 (2009) - 2008
- [j5]Giorgio Fabbri
, Fausto Gozzi:
Solving optimal growth models with vintage capital: The dynamic programming approach. J. Econ. Theory 143(1): 331-373 (2008) - 2005
- [j4]Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou:
A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions. SIAM J. Control. Optim. 43(6): 2009-2019 (2005) - 2002
- [j3]Fausto Gozzi, Tiziano Vargiolu:
Superreplication of European multiasset derivatives with bounded stochastic volatility. Math. Methods Oper. Res. 55(1): 69-91 (2002) - 2000
- [j2]Fausto Gozzi, Elisabeth Rouy, Andrzej Swiech:
Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control. SIAM J. Control. Optim. 38(2): 400-430 (2000) - 1999
- [j1]Emilio Barucci, Fausto Gozzi:
Optimal advertising with a continuum of goods. Ann. Oper. Res. 88: 15-29 (1999)
Coauthor Index
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