16 citations · 30 across the 16 of their papers we have counts for
4 papers · 1 filter
Path-dependent equations and viscosity solutions in infinite dimension
Andrea Cosso, Salvatore Federico, Fausto Gozzi +2
Path-dependent PDEs (PPDEs) are natural objects to study when one deals with non Markovian models. Recently, after the introduction of the so-called pathwise (or functional or Dupi…
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty…
Finite-dimensional representations for controlled diffusions with delay
Salvatore Federico, Peter Tankov
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient co…
Characterization of the optimal boundaries in reversible investment problems
Salvatore Federico, Huyen Pham
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our m…