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Salvatore Federico

Personal Details

First Name:Salvatore
Middle Name:
Last Name:Federico
Suffix:
RePEc Short-ID:pfe421
http://sfederico.altervista.org
Terminal Degree:2009 (from RePEc Genealogy)

Affiliation

Dipartimento di Scienze per l'Economia e l'Impresa
Scuola di Economia e Management
Università degli Studi di Firenze

Firenze, Italy
http://www.disei.unifi.it/
RePEc:edi:defirit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Federico, Salvatore & Ferrari, Giorgio & Riedel, Frank & Röckner, Michael, 2019. "On a Class of Infinite-Dimensional Singular Stochastic Control Problems," Center for Mathematical Economics Working Papers 614, Center for Mathematical Economics, Bielefeld University.
  2. Boucekkine, R. & Fabbri, G. & Federico, S. & Gozzi, F., 2018. "Geographic environmental Kuznets curves: The optimal growth linear-quadratic case," Working Papers 2018-10, Grenoble Applied Economics Laboratory (GAEL).
  3. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.
  4. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2017. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," Working Papers halshs-01399995, HAL.
  5. de Angelis, Tiziano & Federico, Salvatore & Ferrari, Giorgio, 2016. "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment," Center for Mathematical Economics Working Papers 509, Center for Mathematical Economics, Bielefeld University.
  6. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico, 2016. "Optimal Economic Growth Through Capital Accumulation in a Spatially Heterogeneous Environment," AMSE Working Papers 1641, Aix-Marseille School of Economics, France.
  7. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2015. "Generically distributed investments on flexible projects and endogenous growth," Working Papers - Mathematical Economics 2015-04, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  8. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Papers 1406.4297, arXiv.org, revised Jan 2017.
  9. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2014. "On the Consequences of Generically Distributed Investments on Flexible Projects in an Endogenous Growth Model," Discussion Papers 14/15, Department of Economics, University of York.
  10. Ren'e Aid & Salvatore Federico & Huy^en Pham & Bertrand Villeneuve, 2014. "Explicit investment rules with time-to-build and uncertainty," Papers 1406.0055, arXiv.org.
  11. Giorgio Fabbri & Salvatore Federico, 2014. "On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term," Documents de recherche 14-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  12. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org, revised Feb 2015.
  13. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2012. "Impact of time illiquidity in a mixed market without full observation," Papers 1211.1285, arXiv.org, revised Mar 2015.
  14. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
  15. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
  16. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2010. "Constrained portfolio choices in the decumulation phase of a pension plan," Carlo Alberto Notebooks 155, Collegio Carlo Alberto.

Articles

  1. Mauro Bambi & Cristina Girolami & Salvatore Federico & Fausto Gozzi, 2017. "Generically distributed investments on flexible projects and endogenous growth," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 521-558, February.
  2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
  3. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
  4. Aïd, René & Federico, Salvatore & Pham, Huyên & Villeneuve, Bertrand, 2015. "Explicit investment rules with time-to-build and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 240-256.
  5. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  6. Fabbri Giorgio & Federico Salvatore, 2014. "On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term," Mathematical Economics Letters, De Gruyter, vol. 2(3-4), pages 1-11, November.
  7. Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
  8. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
  9. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Boucekkine, R. & Fabbri, G. & Federico, S. & Gozzi, F., 2018. "Geographic environmental Kuznets curves: The optimal growth linear-quadratic case," Working Papers 2018-10, Grenoble Applied Economics Laboratory (GAEL).

    Cited by:

    1. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "A dynamic theory of spatial externalities," AMSE Working Papers 2018, Aix-Marseille School of Economics, France.
    2. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019. "A spatiotemporal framework for the analytical study of optimal growth under transboundary pollution," Working Papers hal-02314035, HAL.
    3. Boucekkine, Raouf & Fabbri, Giorgio & Federico, Salvatore & Gozzi, Fausto, 2022. "Managing spatial linkages and geographic heterogeneity in dynamic models with transboundary pollution," Journal of Mathematical Economics, Elsevier, vol. 98(C).
    4. William Brock & Anastasios Xepapadeas, 2020. "Spatial Environmental and Resource Economics," DEOS Working Papers 2002, Athens University of Economics and Business.
    5. Upmann, Thorsten & Uecker, Hannes & Hammann, Liv & Blasius, Bernd, 2021. "Optimal stock–enhancement of a spatially distributed renewable resource," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).

  2. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.

    Cited by:

    1. Mike Ludkovski, 2022. "Regression Monte Carlo for Impulse Control," Papers 2203.06539, arXiv.org.
    2. Koch, Torben & Vargiolu, Tiziano, 2019. "Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem," Center for Mathematical Economics Working Papers 627, Center for Mathematical Economics, Bielefeld University.
    3. Francesco Giuseppe Cordoni & Luca Di Persio & Yilun Jiang, 2020. "A Bank Salvage Model by Impulse Stochastic Controls," Risks, MDPI, vol. 8(2), pages 1-31, June.
    4. Huberts, Nick F.D. & Rossi Silveira, Rafael, 2023. "How economic depreciation shapes the relationship of uncertainty with investments’ size & timing," International Journal of Production Economics, Elsevier, vol. 260(C).
    5. Junkee Jeon & Geonwoo Kim, 2020. "An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon," Mathematics, MDPI, vol. 8(11), pages 1-10, November.

  3. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2017. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," Working Papers halshs-01399995, HAL.

    Cited by:

    1. Alessandro Calvia & Gianluca Cappa & Fausto Gozzi & Enrico Priola, 2023. "HJB Equations and Stochastic Control on Half-Spaces of Hilbert Spaces," Journal of Optimization Theory and Applications, Springer, vol. 198(2), pages 710-744, August.
    2. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico, 2020. "From Firm to Global-Level Pollution Control: the Case of Transboundary Pollution," Department of Economics University of Siena 818, Department of Economics, University of Siena.
    3. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019. "Geographic environmental Kuznets curves: the optimal growth linear-quadratic case," Post-Print hal-02194227, HAL.
    4. Boucekkine, R. & Fabbri, G. & Federico, S. & Gozzi, F., 2020. "Control theory in infinite dimension for the optimal location of economic activity: The role of social welfare function," Working Papers 2020-02, Grenoble Applied Economics Laboratory (GAEL).
    5. Carmen Camacho & Alexandre Cornet, 2021. "Diffusion of soil pollution in an agricultural economy. The emergence of regions, frontiers and spatial patterns," Working Papers halshs-02652191, HAL.
    6. Francesco Bartaloni, 2021. "Existence of the Optimum in Shallow Lake Type Models with Hysteresis Effect," Journal of Optimization Theory and Applications, Springer, vol. 190(2), pages 358-392, August.
    7. Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019. "Distributed Optimal Control Models in Environmental Economics: A Review," Working Papers halshs-01982243, HAL.
    8. Cristiano Ricci, 2023. "A non-invariance result for the spatial AK model," Papers 2311.06811, arXiv.org.
    9. Paulo Brito, 2004. "The Dynamics of Growth and Distribution in a Spatially Heterogeneous World," Working Papers Department of Economics 2004/14, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    10. Giorgio Fabbri & Silvia Faggian & Giuseppe Freni, 2023. "Growth Models with Externalities on Networks," Working Papers 2023: 23, Department of Economics, University of Venice "Ca' Foscari".
    11. Giorgio Fabbri & Francesco Russo, 2017. "HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition," LIDAM Discussion Papers IRES 2017003, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    12. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "A dynamic theory of spatial externalities," AMSE Working Papers 2018, Aix-Marseille School of Economics, France.
    13. Faggian, Silvia & Gozzi, Fausto & Kort, Peter M., 2021. "Optimal investment with vintage capital: Equilibrium distributions," Journal of Mathematical Economics, Elsevier, vol. 96(C).
    14. Davide La Torre & Danilo Liuzzi & Simone Marsiglio, 2019. "Transboundary Pollution Externalities: Think Globally, Act Locally?," Papers 1910.04469, arXiv.org.
    15. Spyridon Tsangaris & Anastasios Xepapadeas & Athanasios Yannacopoulos, 2022. "Spatial externalities, R&D spillovers, and endogenous technological change," DEOS Working Papers 2225, Athens University of Economics and Business.
    16. Oleg M. Flisyuk & Nicolay A. Martsulevich & Valery P. Meshalkin & Alexandr V. Garabadzhiu, 2022. "Mathematical Modeling of Changes in the Dispersed Composition of Solid Phase Particles in Technological Apparatuses of Periodic and Continuous Action," Mathematics, MDPI, vol. 10(6), pages 1-12, March.
    17. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019. "A spatiotemporal framework for the analytical study of optimal growth under transboundary pollution," Working Papers hal-02314035, HAL.
    18. Giorgio Fabbri & Fausto Gozzi & Giovanni Zanco, 2020. "Verification Results for Age-Structured Models of Economic-Epidemics Dynamics," Papers 2008.07335, arXiv.org.
    19. Boucekkine, Raouf & Fabbri, Giorgio & Federico, Salvatore & Gozzi, Fausto, 2022. "Managing spatial linkages and geographic heterogeneity in dynamic models with transboundary pollution," Journal of Mathematical Economics, Elsevier, vol. 98(C).
    20. Dario Debowicz & Alex Dickson & Ian A. MacKenzie & Petros G. Sekeris, 2023. "Income and the (eventual) rise of democracy," Discussion Papers Series 661, School of Economics, University of Queensland, Australia.
    21. Albeverio, Sergio & Mastrogiacomo, Elisa, 2022. "Large deviation principle for spatial economic growth model on networks," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    22. Anastasios Xepapadeas & Athanasios Yannacopoulos, 2020. "Spatial Growth Theory: Optimality and Spatial Heterogeneity," DEOS Working Papers 2033, Athens University of Economics and Business.
    23. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "Optimal location of economic activity and population density: The role of the social welfare function," AMSE Working Papers 2003, Aix-Marseille School of Economics, France.
    24. Upmann, Thorsten & Uecker, Hannes & Hammann, Liv & Blasius, Bernd, 2021. "Optimal stock–enhancement of a spatially distributed renewable resource," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    25. Phoebe Koundouri & Georgios I. Papayiannis & Athanasios Yannacopoulos, 2022. "Optimal Control Approaches to Sustainability under Uncertainty," DEOS Working Papers 2215, Athens University of Economics and Business.
    26. Carmen Camacho & Alexandre Cornet, 2021. "Diffusion of soil pollution in an agricultural economy. The emergence of regions, frontiers and spatial patterns," PSE Working Papers halshs-02652191, HAL.
    27. Alessandro Calvia & Fausto Gozzi & Marta Leocata & Georgios I. Papayiannis & Anastasios Xepapadeas & Athanasios N. Yannacopoulos, 2023. "An optimal control problem with state constraints in a spatio-temporal economic growth model on networks," Papers 2304.11568, arXiv.org.

  4. de Angelis, Tiziano & Federico, Salvatore & Ferrari, Giorgio, 2016. "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment," Center for Mathematical Economics Working Papers 509, Center for Mathematical Economics, Bielefeld University.

    Cited by:

    1. Tiziano De Angelis, 2018. "Optimal dividends with partial information and stopping of a degenerate reflecting diffusion," Papers 1805.12035, arXiv.org, revised Mar 2019.
    2. Tiziano Angelis, 2020. "Optimal dividends with partial information and stopping of a degenerate reflecting diffusion," Finance and Stochastics, Springer, vol. 24(1), pages 71-123, January.

  5. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico, 2016. "Optimal Economic Growth Through Capital Accumulation in a Spatially Heterogeneous Environment," AMSE Working Papers 1641, Aix-Marseille School of Economics, France.

    Cited by:

    1. Anastasios Xepapadeas & Athanasios Yannacopoulos, 2020. "Spatial Growth Theory: Optimality and Spatial Heterogeneity," DEOS Working Papers 2033, Athens University of Economics and Business.

  6. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2015. "Generically distributed investments on flexible projects and endogenous growth," Working Papers - Mathematical Economics 2015-04, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.

    Cited by:

    1. Cristiano Ricci, 2023. "A non-invariance result for the spatial AK model," Papers 2311.06811, arXiv.org.
    2. Filippo de Feo & Salvatore Federico & Andrzej 'Swik{e}ch, 2023. "Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models," Papers 2302.08809, arXiv.org.

  7. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Papers 1406.4297, arXiv.org, revised Jan 2017.

    Cited by:

    1. Felix Dammann & Giorgio Ferrari, 2023. "Optimal execution with multiplicative price impact and incomplete information on the return," Finance and Stochastics, Springer, vol. 27(3), pages 713-768, July.
    2. Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari, 2019. "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth," Papers 1901.08356, arXiv.org, revised Jan 2019.
    3. Ferrari, Giorgio, 2016. "Controlling public debt without forgetting Inflation," Center for Mathematical Economics Working Papers 564, Center for Mathematical Economics, Bielefeld University.
    4. Thijssen, Jacco J.J., 2022. "Optimal investment and abandonment decisions for projects with construction uncertainty," European Journal of Operational Research, Elsevier, vol. 298(1), pages 368-379.
    5. Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020. "A Knightian Irreversible Investment Problem," Center for Mathematical Economics Working Papers 634, Center for Mathematical Economics, Bielefeld University.
    6. Dammann, Felix & Ferrari, Giorgio, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Center for Mathematical Economics Working Papers 663, Center for Mathematical Economics, Bielefeld University.
    7. Christensen, Sören & Crocce, Fabián & Mordecki, Ernesto & Salminen, Paavo, 2019. "On optimal stopping of multidimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2561-2581.
    8. Callegaro, Giorgia & Ceci, Claudia & Ferrari, Giorgio, 2019. "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth," Center for Mathematical Economics Working Papers 608, Center for Mathematical Economics, Bielefeld University.
    9. Ren'e Aid & Matteo Basei & Giorgio Ferrari, 2023. "A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy," Papers 2305.00541, arXiv.org.
    10. Felix Dammann & Giorgio Ferrari, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Papers 2202.10414, arXiv.org, revised Nov 2022.
    11. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.
    12. Aïd, René & Basei, Matteo & Ferrari, Giorgio, 2023. "A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy," Center for Mathematical Economics Working Papers 679, Center for Mathematical Economics, Bielefeld University.
    13. Cheng Cai & Tiziano De Angelis, 2021. "A change of variable formula with applications to multi-dimensional optimal stopping problems," Papers 2104.05835, arXiv.org, revised Jul 2023.
    14. Andrea Bovo & Tiziano De Angelis & Jan Palczewski, 2023. "Zero-sum stopper vs. singular-controller games with constrained control directions," Papers 2306.05113, arXiv.org, revised Feb 2024.
    15. Andrea Bovo & Tiziano De Angelis & Jan Palczewski, 2023. "Stopper vs. singular-controller games with degenerate diffusions," Papers 2312.00613, arXiv.org.
    16. Junkee Jeon & Geonwoo Kim, 2020. "An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon," Mathematics, MDPI, vol. 8(11), pages 1-10, November.
    17. Cai, Cheng & De Angelis, Tiziano, 2023. "A change of variable formula with applications to multi-dimensional optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 33-61.
    18. Giorgio Ferrari, 2016. "On the Optimal Management of Public Debt: a Singular Stochastic Control Problem," Papers 1607.04153, arXiv.org, revised Dec 2017.
    19. Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari, 2020. "Optimal reduction of public debt under partial observation of the economic growth," Finance and Stochastics, Springer, vol. 24(4), pages 1083-1132, October.

  8. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2014. "On the Consequences of Generically Distributed Investments on Flexible Projects in an Endogenous Growth Model," Discussion Papers 14/15, Department of Economics, University of York.

    Cited by:

    1. Emmanuelle Augeraud-Veron & Mauro Bambi & Fausto Gozzi, 2017. "Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension," Journal of Optimization Theory and Applications, Springer, vol. 173(2), pages 584-611, May.

  9. Ren'e Aid & Salvatore Federico & Huy^en Pham & Bertrand Villeneuve, 2014. "Explicit investment rules with time-to-build and uncertainty," Papers 1406.0055, arXiv.org.

    Cited by:

    1. Jukka Lempa, 2020. "Some results on optimal stopping under phase-type distributed implementation delay," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 559-583, June.
    2. Genc, Talat S., 2017. "The impact of lead time on capital investments," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 142-164.
    3. Mike Ludkovski, 2022. "Regression Monte Carlo for Impulse Control," Papers 2203.06539, arXiv.org.
    4. Koch, Torben & Vargiolu, Tiziano, 2019. "Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem," Center for Mathematical Economics Working Papers 627, Center for Mathematical Economics, Bielefeld University.
    5. Aïd, René & Li, Liangchen & Ludkovski, Michael, 2017. "Capacity expansion games with application to competition in power generation investments," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 1-31.
    6. Julien Prat & Walter Benjamin, 2017. "An Equilibrium Model of the Market for Bitcoin Mining," Working Papers 2017-15, Center for Research in Economics and Statistics.
    7. De Cesare, Luigi & Sportelli, Mario, 2022. "A non-linear approach to Kalecki’s investment cycle," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 193(C), pages 57-70.
    8. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    9. Ren'e Aid & Matteo Basei & Giorgio Ferrari, 2023. "A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy," Papers 2305.00541, arXiv.org.
    10. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.
    11. Aïd, René & Basei, Matteo & Ferrari, Giorgio, 2023. "A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy," Center for Mathematical Economics Working Papers 679, Center for Mathematical Economics, Bielefeld University.
    12. Magnus Perninge, 2018. "A limited-feedback approximation scheme for optimal switching problems with execution delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(3), pages 347-382, June.

  10. Giorgio Fabbri & Salvatore Federico, 2014. "On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term," Documents de recherche 14-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.

    Cited by:

    1. Giorgio Fabbri, 2017. "International borrowing without commitment and informational lags: Choice under uncertainty," Post-Print hal-01505771, HAL.
    2. William Lefebvre & Enzo Miller, 2021. "Linear-quadratic stochastic delayed control and deep learning resolution," Papers 2102.09851, arXiv.org, revised Feb 2021.
    3. Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.
    4. René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2018. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 366-399, November.
    5. William Lefebvre & Enzo Miller, 2021. "Linear-Quadratic Stochastic Delayed Control and Deep Learning Resolution," Journal of Optimization Theory and Applications, Springer, vol. 191(1), pages 134-168, October.
    6. William Lefebvre & Enzo Miller, 2021. "Linear-quadratic stochastic delayed control and deep learning resolution," Post-Print hal-03145949, HAL.

  11. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org, revised Feb 2015.

    Cited by:

    1. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
    2. Jose Cruz & Maria Grossinho & Daniel Sevcovic & Cyril Izuchukwu Udeani, 2022. "Linear and Nonlinear Partial Integro-Differential Equations arising from Finance," Papers 2207.11568, arXiv.org.
    3. Michael Monoyios, 2020. "Infinite horizon utility maximisation from inter-temporal wealth," Papers 2009.00972, arXiv.org, revised Oct 2020.
    4. Daniel Sevcovic & Cyril Izuchukwu Udeani, 2021. "Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem," Papers 2104.06115, arXiv.org.
    5. Ashley Davey & Michael Monoyios & Harry Zheng, 2021. "Duality for optimal consumption with randomly terminating income," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1275-1314, October.
    6. Filippo de Feo & Salvatore Federico & Andrzej 'Swik{e}ch, 2023. "Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models," Papers 2302.08809, arXiv.org.
    7. Kexin Chen & Hoi Ying Wong, 2022. "Duality in optimal consumption--investment problems with alternative data," Papers 2210.08422, arXiv.org, revised Jul 2023.
    8. Alain Bensoussan & Ka Chun Cheung & Yiqun Li & Sheung Chi Phillip Yam, 2022. "Inter‐temporal mutual‐fund management," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 825-877, July.
    9. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    10. Dadashi, Hassan, 2020. "Optimal investment–consumption problem: Post-retirement with minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 160-181.

  12. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2012. "Impact of time illiquidity in a mixed market without full observation," Papers 1211.1285, arXiv.org, revised Mar 2015.

    Cited by:

    1. Giorgio Ferrari & Shihao Zhu, 2022. "On a Merton Problem with Irreversible Healthcare Investment," Papers 2212.05317, arXiv.org, revised Dec 2023.
    2. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    3. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    4. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    5. Ferrari, Giorgio & Zhu, Shihao, 2022. "Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment," Center for Mathematical Economics Working Papers 671, Center for Mathematical Economics, Bielefeld University.

  13. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.

    Cited by:

    1. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.

  14. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.

    Cited by:

    1. Lijun Bo & Huafu Liao & Xiang Yu, 2020. "Optimal Tracking Portfolio with A Ratcheting Capital Benchmark," Papers 2006.13661, arXiv.org, revised Apr 2021.
    2. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, vol. 6(2), pages 1-20, April.
    3. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
    4. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    5. Alessandra Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Carlo Alberto Notebooks 553, Collegio Carlo Alberto.
    6. Alessandro Milazzo & Elena Vigna, 2018. "“The Italian Pension Gap: a Stochastic Optimal Control Approach"," CeRP Working Papers 179, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    7. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, vol. 4(3), pages 1-12, June.
    8. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
    9. Hassan Dadashi, 2018. "Optimal investment-consumption problem: post-retirement with minimum guarantee," Papers 1803.00611, arXiv.org, revised Aug 2020.
    10. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    11. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "Stochastic control problems with state-reflections arising from relaxed benchmark tracking," Papers 2302.08302, arXiv.org, revised Aug 2023.
    12. Dadashi, Hassan, 2020. "Optimal investment–consumption problem: Post-retirement with minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 160-181.
    13. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    14. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.

  15. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2010. "Constrained portfolio choices in the decumulation phase of a pension plan," Carlo Alberto Notebooks 155, Collegio Carlo Alberto.

    Cited by:

    1. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    2. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    3. Elena Vigna, 2010. "On efficiency of mean-variance based portfolio selection in DC pension schemes," Carlo Alberto Notebooks 154, Collegio Carlo Alberto, revised 2011.
    4. Elena Vigna, 2014. "On efficiency of mean--variance based portfolio selection in defined contribution pension schemes," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 237-258, February.
    5. Hassan Dadashi, 2018. "Optimal investment-consumption problem: post-retirement with minimum guarantee," Papers 1803.00611, arXiv.org, revised Aug 2020.
    6. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    7. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    8. Dadashi, Hassan, 2020. "Optimal investment–consumption problem: Post-retirement with minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 160-181.

Articles

  1. Mauro Bambi & Cristina Girolami & Salvatore Federico & Fausto Gozzi, 2017. "Generically distributed investments on flexible projects and endogenous growth," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 521-558, February.
    See citations under working paper version above.
  2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    See citations under working paper version above.
  3. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    See citations under working paper version above.
  4. Aïd, René & Federico, Salvatore & Pham, Huyên & Villeneuve, Bertrand, 2015. "Explicit investment rules with time-to-build and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 240-256.
    See citations under working paper version above.
  5. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
    See citations under working paper version above.
  6. Fabbri Giorgio & Federico Salvatore, 2014. "On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term," Mathematical Economics Letters, De Gruyter, vol. 2(3-4), pages 1-11, November.
    See citations under working paper version above.
  7. Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
    See citations under working paper version above.
  8. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.

    Cited by:

    1. Calisto Guambe & Rodwell Kufakunesu & Gusti Van Zyl & Conrad Beyers, 2018. "Optimal asset allocation for a DC plan with partial information under inflation and mortality risks," Papers 1808.06337, arXiv.org, revised Aug 2018.
    2. Yuki SHIGETA, 2022. "A Continuous-Time Utility Maximization Problem with Borrowing Constraints in Macroeconomic Heterogeneous Agent Models:A Case of Regular Controls under Markov Chain Uncertainty," Discussion papers e-22-009, Graduate School of Economics , Kyoto University.
    3. Lijun Bo & Huafu Liao & Xiang Yu, 2020. "Optimal Tracking Portfolio with A Ratcheting Capital Benchmark," Papers 2006.13661, arXiv.org, revised Apr 2021.
    4. Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo, 2017. "Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 6-20.
    5. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    6. Francesco Menoncin & Sergio Vergalli, 2021. "Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme," Journal of Economics, Springer, vol. 132(1), pages 67-98, January.
    7. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
    8. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    9. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, vol. 6(2), pages 1-20, April.
    10. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    11. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
    12. Masashi Ieda & Takashi Yamashita & Yumiharu Nakano, 2013. "A liability tracking approach to long term management of pension funds," Papers 1303.3956, arXiv.org.
    13. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    14. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.
    15. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
    16. Alessandra Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Carlo Alberto Notebooks 553, Collegio Carlo Alberto.
    17. Filippo de Feo & Salvatore Federico & Andrzej 'Swik{e}ch, 2023. "Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models," Papers 2302.08809, arXiv.org.
    18. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
    19. Elena Vigna, 2010. "On efficiency of mean-variance based portfolio selection in DC pension schemes," Carlo Alberto Notebooks 154, Collegio Carlo Alberto, revised 2011.
    20. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "An extended Merton problem with relaxed benchmark tracking," Papers 2304.10802, arXiv.org, revised Mar 2024.
    21. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
    22. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
    23. Marina Di Giacinto & Elena Vigna, 2012. "On the sub-optimality cost of immediate annuitization in DC pension funds," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 497-527, September.
    24. Paul Gassiat & Fausto Gozzi & Huy^en Pham, 2011. "Investment/consumption problem in illiquid markets with regime-switching," Papers 1107.4210, arXiv.org, revised Apr 2012.
    25. Alessandro Milazzo & Elena Vigna, 2018. "“The Italian Pension Gap: a Stochastic Optimal Control Approach"," CeRP Working Papers 179, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    26. Rama Malladi, 2022. "HARI: Characteristics of a new defined lifestyle (DL) retirement planning product," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(2), pages 147-163, June.
    27. Mauro Bambi & Fausto Gozzi, 2019. "Internal Habit Formation and Optimality," Working Papers 2019_01, Durham University Business School.
    28. Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.
    29. Henrique Ferreira Morici & Elena Vigna, 2023. "Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk," Carlo Alberto Notebooks 699 JEL Classification: C, Collegio Carlo Alberto.
    30. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, vol. 4(3), pages 1-12, June.
    31. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
    32. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    33. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
    34. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    35. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    36. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "Stochastic control problems with state-reflections arising from relaxed benchmark tracking," Papers 2302.08302, arXiv.org, revised Aug 2023.
    37. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
    38. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
    39. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    40. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
    41. Charles I. Nkeki, 2017. "Optimal Investment And Optimal Additional Voluntary Contribution Rate Of A Dc Pension Fund In A Jump-Diffusion Environment," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-26, December.

  9. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.

    Cited by:

    1. David Criens & Lars Niemann, 2023. "Robust utility maximization with nonlinear continuous semimartingales," Mathematics and Financial Economics, Springer, volume 17, number 5, June.
    2. Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong, 2019. "A hybrid stochastic differential reinsurance and investment game with bounded memory," Papers 1910.09834, arXiv.org.
    3. Gao, Yin & Gao, Jinwu & Yang, Xiangfeng, 2022. "Parameter estimation in uncertain delay differential equations via the method of moments," Applied Mathematics and Computation, Elsevier, vol. 431(C).
    4. Yuan, Yu & Han, Xia & Liang, Zhibin & Yuen, Kam Chuen, 2023. "Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework," European Journal of Operational Research, Elsevier, vol. 311(2), pages 581-595.
    5. Filippo de Feo & Salvatore Federico & Andrzej 'Swik{e}ch, 2023. "Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models," Papers 2302.08809, arXiv.org.
    6. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    7. Przyłuski, K. Maciej, 2014. "On Infinite Dimensional Linear-Quadratic Problem with Fixed Endpoints. Continuity Question," MPRA Paper 57430, University Library of Munich, Germany.
    8. Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong, 2021. "A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(3), pages 341-381, December.
    9. Olivier Menoukeu Pamen, 2015. "Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 998-1031, December.
    10. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    11. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
    12. Bai, Yanfei & Zhou, Zhongbao & Xiao, Helu & Gao, Rui & Zhong, Feimin, 2022. "A hybrid stochastic differential reinsurance and investment game with bounded memory," European Journal of Operational Research, Elsevier, vol. 296(2), pages 717-737.
    13. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
    14. A Chunxiang & Shao Yi, 2018. "Worst-Case Investment Strategy with Delay," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 35-57, February.
    15. Qiang Zhang & Ping Chen, 2020. "Optimal Reinsurance and Investment Strategy for an Insurer in a Model with Delay and Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 777-801, June.
    16. Li Chen & Jianhui Huang, 2015. "Stochastic Maximum Principle for Controlled Backward Delayed System via Advanced Stochastic Differential Equation," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 1112-1135, December.
    17. Yadong Shu & Bo Li & Yuanguo Zhu, 2021. "Optimal control for uncertain discrete-time singular systems under expected value criterion," Fuzzy Optimization and Decision Making, Springer, vol. 20(3), pages 331-364, September.
    18. Jiequn Han & Ruimeng Hu, 2021. "Recurrent Neural Networks for Stochastic Control Problems with Delay," Papers 2101.01385, arXiv.org, revised Jun 2021.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-GRO: Economic Growth (7) 2014-09-25 2015-11-07 2016-11-27 2016-12-11 2017-05-28 2018-02-26 2018-04-02. Author is listed
  2. NEP-ENV: Environmental Economics (5) 2018-05-28 2018-05-28 2018-06-18 2018-06-18 2020-06-29. Author is listed
  3. NEP-GEO: Economic Geography (5) 2016-11-27 2016-12-11 2017-05-28 2018-02-26 2018-04-02. Author is listed
  4. NEP-ORE: Operations Research (4) 2014-06-28 2014-10-17 2015-11-07 2018-05-28
  5. NEP-AGR: Agricultural Economics (3) 2018-05-28 2018-06-18 2020-06-29
  6. NEP-DGE: Dynamic General Equilibrium (3) 2014-09-25 2015-11-07 2016-12-11
  7. NEP-ENE: Energy Economics (3) 2018-05-28 2018-06-18 2020-06-29
  8. NEP-MAC: Macroeconomics (3) 2014-09-25 2015-11-07 2015-11-07
  9. NEP-RES: Resource Economics (3) 2018-05-28 2018-06-18 2020-06-29
  10. NEP-URE: Urban and Real Estate Economics (3) 2017-05-28 2018-02-26 2018-04-02
  11. NEP-PPM: Project, Program and Portfolio Management (2) 2014-09-25 2015-11-07
  12. NEP-AGE: Economics of Ageing (1) 2010-10-23
  13. NEP-CMP: Computational Economics (1) 2012-11-17
  14. NEP-EFF: Efficiency and Productivity (1) 2018-05-28
  15. NEP-MIC: Microeconomics (1) 2013-01-12
  16. NEP-UPT: Utility Models and Prospect Theory (1) 2013-01-12

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