FEDERICO, SALVATORE
FEDERICO, SALVATORE
Scienze per l'Economia e l'Impresa
A Pension Fund Model in the Accumulation Phase: a Stochastic Control Approach
2008 Federico, Salvatore
A stochastic control problem with delay arising in a pension fund model
2011 Federico, Salvatore
Characterization of the optimal boundaries in reversible investment problems
2014 Federico, Salvatore; Pham, Huyen
Dynamic Programming for Optimal Control Problems with Delays in the Control Variable
2014 Federico, Salvatore; Tacconi, Elisa
Explicit investment rules with time-to-build and uncertainty
2015 Aïd, René; Federico, Salvatore; Pham, Huyên; Villeneuve, Bertrand
Finite-Dimensional Representations for Controlled Diffusions with Delay
2014 Federico, Salvatore; Tankov, Peter
Generically distributed investments on flexible projects and endogenous growth
2015 Bambi, Mauro; Di Girolami, Cristina; Federico, Salvatore; Gozzi, Fausto
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions
2010 Federico, Salvatore; Goldys, Ben; Gozzi, Fausto
HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks
2011 Federico, Salvatore; Goldys, Ben; Gozzi, Fausto
IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION
2015 Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto
Income drawdown option with minimum guarantee
2014 Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; Vigna, Elena
On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term
2014 Fabbri, Giorgio; Federico, Salvatore
Optimal Stopping of Stochastic Differential Equations with Delay Driven by Lévy Noise
2011 Federico, Salvatore; Øksendal, Bernt Karsten
Pension funds with a minimum guarantee: a stochastic control approach
2011 Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
2015 Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto
Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset
2014 Federico, Salvatore; Gassiat, Paul