16 citations · 30 across the 16 of their papers we have counts for
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q-fin.PM2012
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…
q-fin.PM2012★ 1 cited
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…
math.PR2012
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…