2 citations · 5 across the 4 of their papers we have counts for
4 papers
An Hilbert space approach for a class of arbitrage free implied volatilities models
A. Brace, G. Fabbri, B. Goldys
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European c…
Verification theorem and construction of -optimal controls for control of abstract evolution equations
G. Fabbri, F. Gozzi, A. Swiech
We study several aspects of the dynamic programming approach to optimal control of abstract evolution equations, including a class of semilinear partial differential equations. We…
On the Dynamic Programming approach to economic models governed by DDE's
Giorgio Fabbri, Silvia Faggian, Fausto Gozzi
In this paper we consider a family of optimal control problems for economic models whose state variables are driven by Delay Differential Equations (DDE's). We consider two main ex…
A viscosity solution approach to the infinite dimensional HJB related to boundary control problem in transport equation
Giorgio Fabbri
The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable…