Fausto Gozzi - researchr alias

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Viewing Publication 1 - 30 from 30

2025

Wage rigidity and retirement in optimal portfolio choiceSara Biagini, Enrico Biffis, Fausto Gozzi, Margherita Zanella. automatica, 176:112225, 2025. [doi]

Linear-Quadratic Mean Field Games in Hilbert SpacesSalvatore Federico, Daria Ghilli, Fausto Gozzi. siamma, 57(6):5821-5853, 2025. [doi]

Lifting Partial Smoothing to Solve HJB Equations and Stochastic Control ProblemsFausto Gozzi, Federica Masiero. siamco, 63(3):1515-1559, 2025. [doi]

2023

HJB Equations and Stochastic Control on Half-Spaces of Hilbert SpacesAlessandro Calvia, Gianluca Cappa, Fausto Gozzi, Enrico Priola. jota, 198(2):710-744, August 2023. [doi]

Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized DerivativesFausto Gozzi, Federica Masiero. siamco, 61(2):586-619, April 2023. [doi]

2022

Robust Portfolio Choice with Sticky WagesSara Biagini, Fausto Gozzi, Margherita Zanella. siamfm, 13(3):1004-1039, September 2022. [doi]

A dynamic theory of spatial externalitiesRaouf Boucekkine, Giorgio Fabbri, Salvatore Federico, Fausto Gozzi. geb, 132:133-165, 2022. [doi]

A Stochastic Model of Economic Growth in Time-SpaceFausto Gozzi, Marta Leocata. siamco, 60(2):620-651, 2022. [doi]

2021

From firm to global-level pollution control: The case of transboundary pollutionRaouf Boucekkine, Giorgio Fabbri, Salvatore Federico, Fausto Gozzi. eor, 290(1):331-345, 2021. [doi]

State Constrained Control Problems in Banach Lattices and ApplicationsAlessandro Calvia, Salvatore Federico, Fausto Gozzi. siamco, 59(6):4481-4510, 2021. [doi]

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 FeedbacksFausto Gozzi, Federica Masiero. siamco, 59(4):3096-3101, 2021. [doi]

2020

Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon CaseEnrico Biffis, Fausto Gozzi, Cecilia Prosdocimi. siamco, 58(4):1906-1938, 2020. [doi]

2017

Solving Internal Habit Formation Models Through Dynamic Programming in Infinite DimensionEmmanuelle Augeraud-Veron, Mauro Bambi, Fausto Gozzi. jota, 173(2):584-611, 2017. [doi]

Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial SmoothingFausto Gozzi, Federica Masiero. siamco, 55(5):2981-3012, 2017. [doi]

Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal FeedbacksFausto Gozzi, Federica Masiero. siamco, 55(5):3013-3038, 2017. [doi]

2015

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equationSalvatore Federico, Paul Gassiat, Fausto Gozzi. fs, 19(2):415-448, 2015. [doi]

2014

Endogenous growth and wave-like business fluctuationsMauro Bambi, Fausto Gozzi, Omar Licandro. jet, 154:68-111, 2014. [doi]

Investment/Consumption Problem in Illiquid Markets with Regime-SwitchingPaul Gassiat, Fausto Gozzi, Huyên Pham. siamco, 52(3):1761-1786, 2014. [doi]

Income drawdown option with minimum guaranteeMarina Di Giacinto, Salvatore Federico, Fausto Gozzi, Elena Vigna. eor, 234(3):610-624, 2014. [doi]

2011

Optimal consumption policies in illiquid marketsAlessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov. fs, 15(1):85-115, 2011. [doi]

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal FeedbacksSalvatore Federico, Ben Goldys, Fausto Gozzi. siamco, 49(6):2378-2414, 2011. [doi]

Pension funds with a minimum guarantee: a stochastic control approachMarina Di Giacinto, Salvatore Federico, Fausto Gozzi. fs, 15(2):297-342, 2011. [doi]

2010

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity SolutionsSalvatore Federico, Ben Goldys, Fausto Gozzi. siamco, 48(8):4910-4937, 2010. [doi]

Erratum: A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou. siamco, 48(6):4177-4179, 2010. [doi]

2009

On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory EffectsFausto Gozzi, Carlo Marinelli, Sergei Savin. jota, 142(2):291-321, 2009. [doi]

2008

Solving optimal growth models with vintage capital: The dynamic programming approachGiorgio Fabbri, Fausto Gozzi. jet, 143(1):331-373, 2008. [doi]

2005

A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity SolutionsFausto Gozzi, Andrzej Swiech, Xun Yu Zhou. siamco, 43(6):2009-2019, 2005. [doi]

2002

Superreplication of European multiasset derivatives with bounded stochastic volatilityFausto Gozzi, Tiziano Vargiolu. mmor, 55(1):69-91, 2002. [doi]

2000

Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary ControlFausto Gozzi, Elisabeth Rouy, Andrzej Swiech. siamco, 38(2):400-430, 2000. [doi]

1999

Optimal advertising with a continuum of goodsEmilio Barucci, Fausto Gozzi. anor, 88:15-29, 1999. [doi]

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