Fausto Gozzi

Publication Activity (10 Years)

Years Active: 1999-2023
Publications (10 Years): 14

Top Topics

Operations Management

Optimal Control

Hamilton Jacobi Bellman

Top Venues

SIAM J. Control. Optim.

J. Optim. Theory Appl.

Eur. J. Oper. Res.

Finance Stochastics

Publications

Fausto Gozzi, Federica Masiero
Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives. SIAM J. Control. Optim. 61 (2) (2023)
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) (2023)
Raouf Boucekkine, Giorgio Fabbri, Salvatore Federico, Fausto Gozzi
A dynamic theory of spatial externalities. Games Econ. Behav. 132 (2022)
Fausto Gozzi, Marta Leocata
A Stochastic Model of Economic Growth in Time-Space. SIAM J. Control. Optim. 60 (2) (2022)
Sara Biagini, Fausto Gozzi, Margherita Zanella
Robust Portfolio Choice with Sticky Wages. SIAM J. Financial Math. 13 (3) (2022)
Alessandro Calvia, Salvatore Federico, Fausto Gozzi
State Constrained Control Problems in Banach Lattices and Applications. SIAM J. Control. Optim. 59 (6) (2021)
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) (2021)
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) (2021)
Enrico Biffis, Fausto Gozzi, Cecilia Prosdocimi
Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case. SIAM J. Control. Optim. 58 (4) (2020)
Paolo Acquistapace, Fausto Gozzi
Minimum energy for linear systems with finite horizon: a non-standard Riccati equation. Math. Control. Signals Syst. 29 (4) (2017)
Fausto Gozzi, Federica Masiero
Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks. SIAM J. Control. Optim. 55 (5) (2017)
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) (2017)
Emmanuelle Augeraud-Veron, Mauro Bambi, Fausto Gozzi
Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension. J. Optim. Theory Appl. 173 (2) (2017)
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) (2015)
Paul Gassiat, Fausto Gozzi, Huyên Pham
Investment/Consumption Problem in Illiquid Markets with Regime-Switching. SIAM J. Control. Optim. 52 (3) (2014)
Marina Di Giacinto, Salvatore Federico, Fausto Gozzi, Elena Vigna
Income drawdown option with minimum guarantee. Eur. J. Oper. Res. 234 (3) (2014)
Mauro Bambi, Fausto Gozzi, Omar Licandro
Endogenous growth and wave-like business fluctuations. J. Econ. Theory 154 (2014)
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) (2011)
Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov
Optimal consumption policies in illiquid markets. Finance Stochastics 15 (1) (2011)
Marina Di Giacinto, Salvatore Federico, Fausto Gozzi
Pension funds with a minimum guarantee: a stochastic control approach. Finance Stochastics 15 (2) (2011)
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) (2010)
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) (2010)
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) (2009)
Giorgio Fabbri, Fausto Gozzi
Solving optimal growth models with vintage capital: The dynamic programming approach. J. Econ. Theory 143 (1) (2008)
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) (2005)
Fausto Gozzi, Tiziano Vargiolu
Superreplication of European multiasset derivatives with bounded stochastic volatility. Math. Methods Oper. Res. 55 (1) (2002)
Fausto Gozzi, Elisabeth Rouy, Andrzej Swiech
Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control. SIAM J. Control. Optim. 38 (2) (2000)
Emilio Barucci, Fausto Gozzi
Optimal advertising with a continuum of goods. Ann. Oper. Res. 88 (1999)