3 papers
math.PR2025
Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
Alessandro Bondi, Fausto Gozzi, Enrico Priola +1
We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the exist…
q-fin.MF2025
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…
math.OC2025
Stochastic internal habit formation and optimality
Michele Aleandri, Alessandro Bondi, Fausto Gozzi
Growth models with internal habit formation have been studied in various settings under the assumption of deterministic dynamics. The purpose of this paper is to explore a stochast…