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Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations
Citations
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Cited by:
- Bambi, Mauro & Gozzi, Fausto, 2020.
"Internal habits formation and optimality,"
Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 165-172.
- Mauro Bambi & Fausto Gozzi, 2019. "Internal Habit Formation and Optimality," Department of Economics Working Papers 2019_01, Durham University, Department of Economics.
- Hidekazu Yoshioka & Yuta Yaegashi, 2020. "A growth rate control problem of harmful species population and its application to algae bloom," Environment Systems and Decisions, Springer, vol. 40(1), pages 107-124, March.
- Jean-Pierre Fouque & Zhaoyu Zhang, 2018. "Mean Field Game with Delay: A Toy Model," Risks, MDPI, vol. 6(3), pages 1-17, September.
- Boucekkine, Raouf & Fabbri, Giorgio & Federico, Salvatore & Gozzi, Fausto, 2022.
"A dynamic theory of spatial externalities,"
Games and Economic Behavior, Elsevier, vol. 132(C), pages 133-165.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "A Dynamic Theory Of Spatial Externalities," LIDAM Discussion Papers IRES 2020017, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2022. "A dynamic theory of spatial externalities," Post-Print halshs-02613177, HAL.
- Boucekkine, R. & Fabbri, G. & Federico, S. & Gozzi, F., 2021. "A dynamic theory of spatial externalities," Working Papers 2021-04, Grenoble Applied Economics Laboratory (GAEL).
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2021. "A dynamic theory of spatial externalities," Papers 2112.10584, arXiv.org.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "A dynamic theory of spatial externalities," AMSE Working Papers 2018, Aix-Marseille School of Economics, France.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2022. "A dynamic theory of spatial externalities," Post-Print hal-03727751, HAL.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2021. "A Dynamic Theory Of Spatial Externalities," LIDAM Discussion Papers IRES 2021028, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Giorgio Fabbri & Francesco Russo, 2017.
"HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition,"
LIDAM Discussion Papers IRES
2017003, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Fabbri, G. & Russo, F., 2017. "HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition," Working Papers 2017-07, Grenoble Applied Economics Laboratory (GAEL).
- Giorgio Fabbri & Francesco Russo, 2017. "HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations via Generalized Fukushima Decomposition," AMSE Working Papers 1704, Aix-Marseille School of Economics, France.
- Georgii Riabov & Aleh Tsyvinski, 2021. "Policy with stochastic hysteresis," Papers 2104.10225, arXiv.org.
- Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019.
"Distributed Optimal Control Models in Environmental Economics: A Review,"
AMSE Working Papers
1902, Aix-Marseille School of Economics, France.
- Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019. "Distributed Optimal Control Models in Environmental Economics: A Review," Working Papers halshs-01982243, HAL.
- Michele Giordano & Anton Yurchenko-Tytarenko, 2024. "Optimal control in linear-quadratic stochastic advertising models with memory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 275-298, June.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019.
"Growth and agglomeration in the heterogeneous space: a generalized AK approach,"
Journal of Economic Geography, Oxford University Press, vol. 19(6), pages 1287-1318.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2017. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," Working Papers halshs-01399995, HAL.
- Boucekkine, R. & Fabbri, G. & Federico, S. & Gozzi, F., 2018. "Growth and agglomeration in the heterogeneous space: A generalized AK approach," Working Papers 2018-02, Grenoble Applied Economics Laboratory (GAEL).
- Raouf BOUCEKKINE & Giorgio FABBRI & Salvatore FEDERICO & Fausto GOZZI, 2017. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," LIDAM Discussion Papers IRES 2017006, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2018. "Growth and agglomeration in the heterogeneous space: A generalized AK approach," Working Papers hal-01713905, HAL.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," Post-Print hal-01825777, HAL.
- Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
- Briand, Philippe & Cardaliaguet, Pierre & Chaudru de Raynal, Paul-Éric & Hu, Ying, 2020. "Forward and backward stochastic differential equations with normal constraints in law," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7021-7097.
- Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
- Faggian, Silvia & Gozzi, Fausto & Kort, Peter M., 2021.
"Optimal investment with vintage capital: Equilibrium distributions,"
Journal of Mathematical Economics, Elsevier, vol. 96(C).
- Silvia Faggian & Fausto Gozzo & Peter M. Kort, 2019. "Optimal investment with vintage capital: equilibrium distributions," Working Papers 2019: 12, Department of Economics, University of Venice "Ca' Foscari".
- Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013.
"Smooth solutions to portfolio liquidation problems under price-sensitive market impact,"
Papers
1309.0474, arXiv.org, revised Jun 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2018. "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact," Post-Print hal-01540537, HAL.
- Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
- Fausto Gozzi & Federica Masiero & Mauro Rosestolato, 2024. "An optimal advertising model with carryover effect and mean field terms," Mathematics and Financial Economics, Springer, volume 18, number 9, February.
- Bruno Bouchard & Boualem Djehiche & Idris Kharroubi, 2020. "Quenched Mass Transport of Particles Toward a Target," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 345-374, August.
- Robert Balkin & Hector D. Ceniceros & Ruimeng Hu, 2023. "Stochastic Delay Differential Games: Financial Modeling and Machine Learning Algorithms," Papers 2307.06450, arXiv.org.
- Hanchao Liu & Dena Firoozi, 2024. "Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis," Papers 2403.01012, arXiv.org, revised Jul 2024.
- Phoebe Koundouri & Georgios I. Papayiannis & Athanasios Yannacopoulos, 2022. "Optimal Control Approaches to Sustainability under Uncertainty," DEOS Working Papers 2215, Athens University of Economics and Business.
- Djehiche, Boualem & Gozzi, Fausto & Zanco, Giovanni & Zanella, Margherita, 2022. "Optimal portfolio choice with path dependent benchmarked labor income: A mean field model," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 48-85.
- Ulrich Horst & Xiaonyu Xia, 2018. "Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint," Papers 1809.01972, arXiv.org, revised Apr 2020.
- René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2018. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 366-399, November.
- Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
- Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2020. "A dynamic theory of spatial externalities," Working Papers halshs-02613177, HAL.
- Alexander M. G. Cox & Sigrid Kallblad & Martin Larsson & Sara Svaluto-Ferro, 2021. "Controlled Measure-Valued Martingales: a Viscosity Solution Approach," Papers 2109.00064, arXiv.org, revised Aug 2023.
- Blessing, Jonas & Denk, Robert & Kupper, Michael & Nendel, Max, 2022. "Convex Monotone Semigroups and their Generators with Respect to $\Gamma$-Convergence," Center for Mathematical Economics Working Papers 662, Center for Mathematical Economics, Bielefeld University.
- Masiero, Federica & Orrieri, Carlo & Tessitore, Gianmario & Zanco, Giovanni, 2021. "Semilinear Kolmogorov equations on the space of continuous functions via BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 1-56.
- Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.