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Details about Fausto Gozzi

Workplace:Dipartimento di Economia e Finanza (DEF) (Department of Economics and Finance), Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) (International Free University of Social Sciences Guido Carli), (more information at EDIRC)

Access statistics for papers by Fausto Gozzi.

Last updated 2019-08-15. Update your information in the RePEc Author Service.

Short-id: pgo179


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Working Papers

2019

  1. Geographic environmental Kuznets curves: the optimal growth linear-quadratic case
    Post-Print, HAL
    Also in Working Papers, HAL (2018) Downloads
    Working Papers, Grenoble Applied Economics Laboratory (GAEL) (2018) Downloads
    AMSE Working Papers, Aix-Marseille School of Economics, France (2018) Downloads
    Working Papers, HAL (2018) Downloads
  2. Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach
    Post-Print, HAL View citations (4)
    Also in Working Papers, HAL (2017) Downloads View citations (6)
    Working Papers, HAL (2018) Downloads View citations (2)
    Working Papers, Grenoble Applied Economics Laboratory (GAEL) (2018) Downloads View citations (1)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2017) Downloads View citations (5)
  3. Internal Habit Formation and Optimality
    Working Papers, Durham University Business School Downloads
  4. Optimal investment with vintage capital: equilibrium distributions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads

2017

  1. Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations
    Post-Print, HAL View citations (10)

2015

  1. Generically distributed investments on flexible projects and endogenous growth
    Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads
    See also Journal Article in Economic Theory (2017)
  2. Impact of time illiquidity in a mixed market without full observation
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Mathematical Finance (2017)
  3. Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Finance and Stochastics (2015)

2014

  1. Egalitarianism under population change: Age structure does matter
    Post-Print, HAL View citations (7)
    Also in Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2014) Downloads View citations (17)

    See also Journal Article in Journal of Mathematical Economics (2014)
  2. On the Consequences of Generically Distributed Investments on Flexible Projects in an Endogenous Growth Model
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)

2012

  1. Egalitarism Under Population Change: the Role of Growth and Lifetime Span
    DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade Downloads
    Also in Working Papers, HAL (2012) Downloads
    AMSE Working Papers, Aix-Marseille School of Economics, France (2012) Downloads View citations (1)
  2. Income drawdown option with minimum guarantee
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
    See also Journal Article in European Journal of Operational Research (2014)
  3. Investment/consumption problem in illiquid markets with regime-switching
    Papers, arXiv.org Downloads
    Also in Working Papers, HAL (2011) Downloads View citations (3)
  4. Mathematical Tools for Economic Dynamics: Dynamic Optimization
    Discussion Papers, CRISEI, University of Naples "Parthenope", Italy Downloads
  5. Optimal policy and consumption smoothing effects in the time-to-build AK model
    Post-Print, HAL View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (10)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2010) Downloads View citations (1)

    See also Journal Article in Economic Theory (2012)

2011

  1. Life span and the problem of optimal population size
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (2)
    Also in Working Papers, HAL (2010) Downloads
  2. Revisiting the optimal population size problem under endogenous growth: minimal utility level and finite lives
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Asia-Pacific Journal of Accounting & Economics (2011)

2010

  1. Constrained portfolio choices in the decumulation phase of a pension plan
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (8)
  2. Maintenance and investment: Complements or substitutes? A reappraisal
    Post-Print, HAL Downloads View citations (32)
    Also in Working Papers, Business School - Economics, University of Glasgow (2009) Downloads View citations (7)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (3)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2009) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2010)

2009

  1. Existence of Optimal Strategies in Linear Multisector Models with several consumption goods
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Decisions in Economics and Finance (2017)

2008

  1. Optimal consumption policies in illiquid markets
    Working Papers, HAL Downloads View citations (3)
    See also Journal Article in Finance and Stochastics (2011)
  2. Optimal investment models with vintage capital: Dynamic Programming approach
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia Downloads View citations (4)
    See also Journal Article in Journal of Mathematical Economics (2010)
  3. Solving optimal growth models with vintage capital: The dynamic programming approach
    Post-Print, HAL View citations (6)
    See also Journal Article in Journal of Economic Theory (2008)

2007

  1. Verification theorem and construction of epsilon-optimal controls for control of abstract evolution equations
    MPRA Paper, University Library of Munich, Germany Downloads

2006

  1. On the Dynamic Programming approach to economic models governed by DDE's
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Vintage Capital in the AK growth model: a Dynamic Programming approach. Extended version
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)

2004

  1. Existence of Optimal Strategies in linear Multisector Models
    Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy Downloads View citations (13)
    See also Journal Article in Economic Theory (2006)

2002

  1. Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates
    Computing in Economics and Finance 2002, Society for Computational Economics
  2. Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates
    Computing in Economics and Finance 2002, Society for Computational Economics

Undated

  1. Innovation and Capital Accumulation in a Vintage Capital Model: an Infinite Dimensional Control Approach
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads

Journal Articles

2017

  1. Existence of optimal strategies in linear multisector models with several consumption goods
    Decisions in Economics and Finance, 2017, 40, (1), 199-229 Downloads
    See also Working Paper (2009)
  2. Generically distributed investments on flexible projects and endogenous growth
    Economic Theory, 2017, 63, (2), 521-558 Downloads
    See also Working Paper (2015)
  3. IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION
    Mathematical Finance, 2017, 27, (2), 401-437 Downloads
    See also Working Paper (2015)
  4. Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension
    Journal of Optimization Theory and Applications, 2017, 173, (2), 584-611 Downloads

2015

  1. Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
    Finance and Stochastics, 2015, 19, (2), 415-448 Downloads View citations (2)
    See also Working Paper (2015)

2014

  1. Egalitarianism under population change: Age structure does matter
    Journal of Mathematical Economics, 2014, 55, (C), 86-100 Downloads View citations (16)
    See also Working Paper (2014)
  2. Endogenous growth and wave-like business fluctuations
    Journal of Economic Theory, 2014, 154, (C), 68-111 Downloads View citations (8)
  3. Income drawdown option with minimum guarantee
    European Journal of Operational Research, 2014, 234, (3), 610-624 Downloads View citations (8)
    See also Working Paper (2012)

2012

  1. Optimal policy and consumption smoothing effects in the time-to-build AK model
    Economic Theory, 2012, 50, (3), 635-669 Downloads View citations (18)
    See also Working Paper (2012)

2011

  1. Optimal consumption policies in illiquid markets
    Finance and Stochastics, 2011, 15, (1), 85-115 Downloads View citations (7)
    See also Working Paper (2008)
  2. Pension funds with a minimum guarantee: a stochastic control approach
    Finance and Stochastics, 2011, 15, (2), 297-342 Downloads View citations (33)
  3. Revisiting the Optimal Population Size Problem under Endogenous Growth: Minimal Utility Level and Finite Life
    Asia-Pacific Journal of Accounting & Economics, 2011, 18, (3), 287-305 Downloads
    See also Working Paper (2011)

2010

  1. Maintenance and investment: Complements or substitutes? A reappraisal
    Journal of Economic Dynamics and Control, 2010, 34, (12), 2420-2439 Downloads View citations (30)
    See also Working Paper (2010)
  2. Optimal investment models with vintage capital: Dynamic programming approach
    Journal of Mathematical Economics, 2010, 46, (4), 416-437 Downloads View citations (11)
    See also Working Paper (2008)

2009

  1. On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects
    Journal of Optimization Theory and Applications, 2009, 142, (2), 291-321 Downloads View citations (4)

2008

  1. On Dynamic Programming in Economic Models Governed by DDEs
    Mathematical Population Studies, 2008, 15, (4), 267-290 Downloads View citations (1)
  2. Optimal strategies in linear multisector models: Value function and optimality conditions
    Journal of Mathematical Economics, 2008, 44, (1), 55-86 Downloads View citations (5)
  3. Solving optimal growth models with vintage capital: The dynamic programming approach
    Journal of Economic Theory, 2008, 143, (1), 331-373 Downloads View citations (62)
    See also Working Paper (2008)

2006

  1. Existence of optimal strategies in linear multisector models
    Economic Theory, 2006, 29, (1), 25-48 Downloads View citations (17)
    See also Working Paper (2004)
  2. Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: approach
    Stochastic Processes and their Applications, 2006, 116, (12), 1932-1963 Downloads View citations (5)
  3. Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition
    Stochastic Processes and their Applications, 2006, 116, (11), 1530-1562 Downloads View citations (10)
  4. Weak Dirichlet processes with a stochastic control perspective
    Stochastic Processes and their Applications, 2006, 116, (11), 1563-1583 Downloads View citations (7)

2004

  1. ON THE DYNAMIC PROGRAMMING APPROACH FOR OPTIMAL CONTROL PROBLEMS OF PDE'S WITH AGE STRUCTURE
    Mathematical Population Studies, 2004, 11, (3-4), 233-270 Downloads View citations (19)

2003

  1. A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (03), 277-299 Downloads

2002

  1. Superreplication of European multiasset derivatives with bounded stochastic volatility
    Mathematical Methods of Operations Research, 2002, 55, (1), 69-91 Downloads View citations (3)

2001

  1. On a Dynamic Non-Substitution Theorem and Other Issues in Burgstaller's Property and Prices
    Metroeconomica, 2001, 52, (2), 181-196 Downloads View citations (1)
  2. Technology adoption and accumulation in a vintage-capital model
    Journal of Economics, 2001, 74, (1), 1-38 Downloads View citations (29)

2000

  1. Incentive compatibility constraints and dynamic programming in continuous time
    Journal of Mathematical Economics, 2000, 34, (4), 471-508 Downloads View citations (1)

1999

  1. Optimal advertising with a continuum of goods
    Annals of Operations Research, 1999, 88, 15-29 Downloads View citations (13)

1998

  1. Investment in a vintage capital model
    Research in Economics, 1998, 52, (2), 159-188 Downloads View citations (25)
 
Page updated 2019-10-17