6 papers
Optimal Control in Infinite Dimensional Spaces and Economic Modeling: State of the Art and Perspectives
Giorgio Fabbri, Silvia Faggian, Salvatore Federico +1
This survey collects, within a unified framework, various results (primarily by the authors themselves) on the use of Deterministic Infinite-Dimensional Optimal Control Theory to a…
High risk aversion Merton's problem without transversality conditions
Enrico Biffis, Cristina Di Girolami, Salvatore Federico +1
This paper revisits the classical Merton portfolio choice problem over infinite horizon for high risk aversion, addressing technical challenges related to establishing the existenc…
An integral transformation approach to differential games: a climate model application
Raouf Boucekkine, Giorgio Fabbri, Salvatore Federico +3
We develop an Integral Transformation Method (ITM) for the study of suitable optimal control and differential game models. This allows for a solution to such dynamic problems to be…
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the initial distribution
Filippo de Feo, Salvatore Federico, Fausto Gozzi +1
We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We…
On Mean Field Games in Infinite Dimension
Salvatore Federico, Fausto Gozzi, Andrzej Święch
We study a Mean Field Games (MFG) system in a real, separable infinite dimensional Hilbert space. The system consists of a second order parabolic type equation, called Hamilton-Jac…
Linear-Quadratic Mean Field Games in Hilbert spaces
Salvatore Federico, Fausto Gozzi, Daria Ghilli
This paper represents the first attempt to develop a theory for linear-quadratic mean field games in possibly infinite dimensional Hilbert spaces. As a starting point, we study the…