5 citations · 15 across the 9 of their papers we have counts for
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math.PR2018★ 2 cited
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…
math.OC2018
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…