16 citations · 30 across the 16 of their papers we have counts for
Showing 2013Show all
2 papers · 1 filter
math.PR2013
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…
q-fin.PM2013★ 1 cited
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…