Fausto Gozzi

According to our database, Fausto Gozzi authored at least 28 papers between 1999 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

HJB Equations and Stochastic Control on Half-Spaces of Hilbert Spaces.

Alessandro Calvia, Gianluca Cappa, Fausto Gozzi, Enrico Priola

J. Optim. Theory Appl., August, 2023

Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives.

Fausto Gozzi, Federica Masiero

SIAM J. Control. Optim., April, 2023

2022

Robust Portfolio Choice with Sticky Wages.

Sara Biagini, Fausto Gozzi, Margherita Zanella

SIAM J. Financial Math., September, 2022

A Stochastic Model of Economic Growth in Time-Space.

Fausto Gozzi, Marta Leocata

SIAM J. Control. Optim., 2022

A dynamic theory of spatial externalities.

Raouf Boucekkine, Giorgio Fabbri, Salvatore Federico, Fausto Gozzi

Games Econ. Behav., 2022

2021

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.

Fausto Gozzi, Federica Masiero

SIAM J. Control. Optim., 2021

State Constrained Control Problems in Banach Lattices and Applications.

Alessandro Calvia, Salvatore Federico, Fausto Gozzi

SIAM J. Control. Optim., 2021

From firm to global-level pollution control: The case of transboundary pollution.

Raouf Boucekkine, Giorgio Fabbri, Salvatore Federico, Fausto Gozzi

Eur. J. Oper. Res., 2021

2020

Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case.

Enrico Biffis, Fausto Gozzi, Cecilia Prosdocimi

SIAM J. Control. Optim., 2020

2017

Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks.

Fausto Gozzi, Federica Masiero

SIAM J. Control. Optim., 2017

Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing.

Fausto Gozzi, Federica Masiero

SIAM J. Control. Optim., 2017

Minimum energy for linear systems with finite horizon: a non-standard Riccati equation.

Paolo Acquistapace, Fausto Gozzi

Math. Control. Signals Syst., 2017

Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension.

Emmanuelle Augeraud-Veron, Mauro Bambi, Fausto Gozzi

J. Optim. Theory Appl., 2017

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

Endogenous growth and wave-like business fluctuations.

Mauro Bambi, Fausto Gozzi, Omar Licandro

J. Econ. Theory, 2014

Income drawdown option with minimum guarantee.

Marina Di Giacinto, Salvatore Federico, Fausto Gozzi, Elena Vigna

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.

Salvatore Federico, Ben Goldys, Fausto Gozzi

SIAM J. Control. Optim., 2011

Pension funds with a minimum guarantee: a stochastic control approach.

Marina Di Giacinto, Salvatore Federico, Fausto Gozzi

Finance Stochastics, 2011

Optimal consumption policies in illiquid markets.

Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov

Finance Stochastics, 2011

2010

Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions".

Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou

SIAM J. Control. Optim., 2010

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

Salvatore Federico, Ben Goldys, Fausto Gozzi

SIAM J. Control. Optim., 2010

2009

On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects.

Fausto Gozzi, Carlo Marinelli, Sergei Savin

J. Optimization Theory and Applications, 2009

2008

Solving optimal growth models with vintage capital: The dynamic programming approach.

Giorgio Fabbri, Fausto Gozzi

J. Econ. Theory, 2008

2005

A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions.

Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou

SIAM J. Control. Optim., 2005

2002

Superreplication of European multiasset derivatives with bounded stochastic volatility.

Fausto Gozzi, Tiziano Vargiolu

Math. Methods Oper. Res., 2002

2000

Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control.

Fausto Gozzi, Elisabeth Rouy, Andrzej Swiech

SIAM J. Control. Optim., 2000

1999

Optimal advertising with a continuum of goods.

Emilio Barucci, Fausto Gozzi

Ann. Oper. Res., 1999