16 citations · 30 across the 16 of their papers we have counts for
3 papers · 1 filter
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., i…
Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets
Salvatore Federico, Paul Gassiat
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be trad…
Impact of time illiquidity in a mixed market without full observation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asse…