9 citations · 24 across the 9 of their papers we have counts for
11 papers
Optimal Policy Characterization for a Class of Multi-Dimensional Ergodic Singular Stochastic Control Problems
Alessandro Calvia, Federico Cannerozzi, Giorgio Ferrari
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal o…
Short-rate models with stochastic discontinuities: a PDE approach
Alessandro Calvia, Marzia De Donno, Chiara Guardasoni +1
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (…
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
An optimal control problem with state constraints in a spatio-temporal economic growth model on networks
Alessandro Calvia, Fausto Gozzi, Marta Leocata +3
We introduce a spatial economic growth model where space is described as a network of interconnected geographic locations and we study a corresponding finite-dimensional optimal co…
HJB equations and stochastic control on half-spaces of Hilbert spaces
Alessandro Calvia, Gianluca Cappa, Fausto Gozzi +1
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we…
Nonlinear Filtering of Partially Observed Systems arising in Singular Stochastic Optimal Control
Alessandro Calvia, Giorgio Ferrari
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process whose components have paths of bounded varia…
State constrained control problems in Banach lattices and applications
Alessandro Calvia, Salvatore Federico, Fausto Gozzi
This paper aims to study a family of deterministic optimal control problems in infinite dimensional spaces. The peculiar feature of such problems is the presence of a positivity st…
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Elena Bandini, Alessandro Calvia, Katia Colaneri
The objective of this paper is to study the filtering problem for a system of partially observable processes , where is a non-Markovian pure-jump process representing t…
Risk measures and progressive enlargement of filtration: a BSDE approach
Alessandro Calvia, Emanuela Rosazza Gianin
We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a s…
Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
Alessandro Calvia
We consider an infinite horizon optimal control problem for a pure jump Markov process , taking values in a complete and separable metric space , with noise-free partial obse…
Optimal control of continuous-time Markov chains with noise-free observation
Alessandro Calvia
We consider an infinite horizon optimal control problem for a continuous-time Markov chain in a finite set with noise-free partial observation. The observation process is d…