5 citations · 15 across the 9 of their papers we have counts for
13 papers
Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control
Salvatore Federico, Giorgio Ferrari, Mauro Rosestolato
In this note, we demonstrate that a locally semiconvex viscosity supersolution to a possibly degenerate fully nonlinear elliptic Hamilton-Jacobi-Bellman (HJB) equation is different…
An optimal advertising model with carryover effect and mean field terms
Fausto Gozzi, Federica Masiero, Mauro Rosestolato
We consider a class of optimal advertising problems under uncertainty for the introduction of a new product into the market, on the line of the seminal papers of Vidale and Wolfe,…
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion p…
Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Andrea Cosso, Fausto Gozzi, Mauro Rosestolato +1
We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value functio…
Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first est…
Viscosity solutions of path-dependent PDEs with randomized time
Zhenjie Ren, Mauro Rosestolato
We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the n…
Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
Salvatore Federico, Mauro Rosestolato, Elisa Tacconi
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By empl…
A note on stochastic Fubini's theorem and stochastic convolution
Mauro Rosestolato
We provide a version of the stochastic Fubini's theorem which does not depend on the particular stochastic integrator chosen as far as the stochastic integration is built as a cont…
Functional Itō calculus in Hilbert spaces and application to path-dependent Kolmogorov equations
Mauro Rosestolato
Recently, functional Itō calculus has been introduced and developed in finite dimension for functionals of continuous semimartingales. With different techniques, we develop a funct…
Path-dependent SDEs in Hilbert spaces
Mauro Rosestolato
We study path-dependent SDEs in Hilbert spaces. By using methods based on contractions in Banach spaces, we prove existence and uniqueness of mild solutions, continuity of mild sol…
Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
Mauro Rosestolato, Andrzej Świech
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are regular on special finite dimensional…
-sequentially equicontinuous semigroups: theory and applications
Salvatore Federico, Mauro Rosestolato
We present and apply a theory of one parameter -semigroups of linear operators in locally convex spaces. Replacing the notion of equicontinuity considered by the literature wi…
Path-dependent equations and viscosity solutions in infinite dimension
Andrea Cosso, Salvatore Federico, Fausto Gozzi +2
Path-dependent PDEs (PPDEs) are natural objects to study when one deals with non Markovian models. Recently, after the introduction of the so-called pathwise (or functional or Dupi…