6 papers
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…
On Mean Field Games in Infinite Dimension
Salvatore Federico, Fausto Gozzi, Andrzej ÅwiÄch
We study a Mean Field Games (MFG) system in a real, separable infinite dimensional Hilbert space. The system consists of a second order parabolic type equation, called Hamilton-Jac…
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…
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the initial distribution
Filippo de Feo, Salvatore Federico, Fausto Gozzi +1
We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We…
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…
An integral transformation approach to differential games: a climate model application
Raouf Boucekkine, Giorgio Fabbri, Salvatore Federico +3
We develop an Integral Transformation Method (ITM) for the study of suitable optimal control and differential game models. This allows for a solution to such dynamic problems to be…