9 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…
Network-Based Optimal Control of Pollution Growth
Fausto Gozzi, Marta Leocata, Giulia Pucci
This paper studies a model for the optimal control (by a centralized economic agent which we call the planner) of pollution diffusion over time and space. The controls are the inve…
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
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…
An optimal advertising model with carryover effect and mean field terms
Fausto Gozzi, Federica Masiero, Mauro Rosestolato
We consider a class of optimal advertising problems under uncertainty for the introduction of a new product into the market, on the line of the seminal papers of Vidale and Wolfe,…