5 papers
Optimal policies for environmental assets under spatial heterogeneity and global awareness
Emmanuelle Augeraud-Véron, Daria Ghilli, Fausto Gozzi +1
The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities ta…
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…
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…