5 papers · 1 filter
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
Optimal policies for environmental assets under spatial heterogeneity and global awareness
Emmanuelle Augeraud-Véron, Daria Ghilli, Fausto Gozzi +1
The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities ta…
Optimal Control in Infinite Dimensional Spaces and Economic Modeling: State of the Art and Perspectives
Giorgio Fabbri, Silvia Faggian, Salvatore Federico +1
This survey collects, within a unified framework, various results (primarily by the authors themselves) on the use of Deterministic Infinite-Dimensional Optimal Control Theory to a…
High risk aversion Merton's problem without transversality conditions
Enrico Biffis, Cristina Di Girolami, Salvatore Federico +1
This paper revisits the classical Merton portfolio choice problem over infinite horizon for high risk aversion, addressing technical challenges related to establishing the existenc…
Linear-Quadratic Mean Field Games in Hilbert spaces
Salvatore Federico, Fausto Gozzi, Daria Ghilli
This paper represents the first attempt to develop a theory for linear-quadratic mean field games in possibly infinite dimensional Hilbert spaces. As a starting point, we study the…