7 citations · 9 across the 3 of their papers we have counts for
3 papers
math.OC2009★ 7 cited
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations
Salvatore Federico, Ben Goldys, Fausto Gozzi
This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation i…
math.OC2009
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints: Regularity and Applications
Salvatore Federico, Ben Goldys, Fausto Gozzi
We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in ec…
q-fin.CP2007★ 2 cited
An Hilbert space approach for a class of arbitrage free implied volatilities models
A. Brace, G. Fabbri, B. Goldys
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European c…