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Fausto Gozzi

Fausto Gozzi
Ordinario

Note biografiche

Nato a Viadana (Mn) il 18/02/’65. Laurea in Matematica presso l'Università di Pisa.

Aree di ricerca: Dynamic Optimization and applications, Financial Mathematics, Game Theory, Mathematical Method for Economics, Mathematics of gamblings, Pension Funds, Portfolio Optimization

Curriculum

Professore Ordinario c/o Dipartimento Economia e Finanza.
Ricercatore Universitario c/o Dipartimento di Matematica, Facoltà di Economia, Università di Pisa.
Professore associato c/o Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative, Facoltà di Economia, Università di Roma ``La Sapienza”.
Posizione attuale
Professore Ordinario (full professor) dal 01/10/2003 c/o Dipartimento di Scienze economiche ed aziendali, Facoltà di Economia, Università LUISS – Roma. Precedenti posizioni
Ricercatore Universitario Confermato c/o Dipartimento di Matematica, Università di Pisa dal 20/05/1990 al 31/10/1998.
Professore Associato dal 01/11/1998 al 30/09/2003 c/o Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facoltàdi Economia, Università di Roma “La Sapienza”.
Studi
Laurea in Matematica con lode, 19/11/1987, Università di Pisa. Tesi: “Controllo ottimale di equazioni di evoluzione tramite linearizzazione”, relatore: prof. G. Da Prato.
Licenza, Scuola Normale Superiore di Pisa.
Perfezionamento (PHD) con lode in Matematica, 22/12/1998, Scuola Normale Superiore, Pisa. Tesi: “Second Order Hamilton-Jacobi-Bellman Equations in Hilbert Spaces and Stochastic Control”, relatore: prof. G. Da Prato.
Principali argomenti di ricerca trattati
Controllo ottimale per sistemi deterministici e stocastici, di dimensione finita e infinita e applicazioni ad economia, finanza, assicurazioni, fluidodinamica. Equazioni alle derivate parziali (in particolare equazioni di Bellman per problemi di controllo ottimale).
Problemi di pricing ed hedging per titoli derivati in finanza, anche tramite la teoria dei semigruppi.
Gestione ottimale di portafogli.
Modelli dinamici in economia, in particolare modelli con capitali eterogenei.
Conferenze FG ha tenuto tre minicorsi su invito, una relazione plenaria ad un convegno su invito, circa 35 conferenze su invito a convegni, circa 30 comunicazioni a convegni in Italia e all’estero; circa 50 conferenze su invito a varie università italiane ed estere.
Ha organizzato minisimposi a 3 convegni, ha coordinato la gestione dei seminari nei Dipartimenti di appartenenza a Pisa, a Roma “La Sapienza” e alla Luiss.
E’ stato membro del comitato organizzatore e del comitato scientifico del Congresso IME tenutosi presso la LUISS dal 14 al 16 Giugno 2004.
E’ stato membro del comitato scientifico della School and Workshop ITN “Stochastic Control in Infinite Dimension” tenutisi presso l’Università di Milano Bicocca e il Politecnico di Milano a Luglio 2011.
Posizioni all’estero
Visiting student c/o Brown University, USA;
visiting professor c/o Université Paris XIII e Paris VII (FR), Georgia Institute of Technology, USA, University of New South Wales – Sydney (Australia), AMU Marseille (FR), York University (UK), EPFL Lausanne (Svizzera). G) Fondi di ricerca Coordinatore di tre progetti di ateneo dell’Università di Roma 1 (uno biennale, uno annuale) entrambi finanziati (totale 65.000 Euro ca).
Coordinatore locale di un progetto coordinato CNR (6.000 Euro ca).
Coordinatore nazionale di un progetto coordinato CNR (42.000 Euro ca).
Coordinatore locale di un progetto nazionale MIUR (71.000 Euro ca).
Coordinatore nazionale di un progetto nazionale MIUR (120.000 Euro ca). Tutti nel settore SECS-S/06.
Mondo del lavoro
Ha svolto il ruolo di supervisore, per la parte modellistica, di un progetto di collaborazione tra l’IAC-CNR a l’INA (Istituto Nazionale Assicurazioni) per l’ottimizzazione di un portafoglio gestito dall’INA.
A tale progetto hanno lavorato tre studenti di dottorato e personale dell’INA.
Ha partecipato ad un progetto di “Applicazione del controllo stocastico risk-sensitive ad un problema di gestione ottimale dell’emissione dei titoli di debito pubblico”, una collaborazione tra l’IAC-CNR e il ministero del Tesoro, attualmente in corso.
Ha collaborato con Lottomatica per lo studio di modelli riguardanti il gioco del lotto ed il comportamento dei giocatori.

Pubblicazioni

  • BAMBI, Mauro; DI GIROLAMI, Cristina; FEDERICO, Salvatore; GOZZI Fausto (9999). On the Consequences of Flexible Investment Projects in an Endogenous Growth Model., in ECONOMIC THEORY. Month 1, p. 1-45.
  • Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto; (9999). Impact of time illiquidity in a mixed market without full observation, in MATHEMATICAL FINANCE. Month 1, p. 1-65.
  • FEDERICO, Salvatore; GOZZI, Fausto (9999). Mild solutions of semilinear elliptic equations in Hilbert spaces., in JOURNAL OF DIFFERENTIAL EQUATIONS. Month 1, p. 1-40.
  • AUGERAUD-VERON, Emmanuelle; BAMBI, Mauro; GOZZI, Fausto (9999). On the equivalence of internal and external habit formation models with finite memory, in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS. Month 1, p. 1-42.
  • Fabbri, Giorgio; Gozzi, Fausto; Swiech, Andrzej (2017). Stochastic Optimal Control in Infinite Dimensions: Dynamic Programming and HJB Equations. Heidelberg: Springer. p. 1-720. ISBN: 10.1007/978-3-319-53067-3.
  • Gozzi, Fausto; Masiero, Federica; (2015). Stochastic Optimal Control with Delay in the Control: solution through partial smoothing. In: Arxiv: Mathematics, Probability, Cornell: Cornell University Library, Arxiv. ISBN: 10.1007/978-3-319-53067-3.
  • Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto (2015). Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation., in FINANCE AND STOCHASTICS. p. 415-448.
  • Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar (2015). Path-dependent equations and viscosity solutions in infinite dimension,. In: Arxiv, Cornell: Cornell University Library. ISBN: 10.1007/978-3-319-53067-3.
  • BAMBI Mauro; GOZZI Fausto; LICANDRO Omar; (2014). Endogenous Growth and Wave-like Business Fluctuations., in JOURNAL OF ECONOMIC THEORY. p. 68-111.
  • R. Boucekkine; G. Fabbri; F. Gozzi (2014). Egalitarianism under population change: age structure does matter, in JOURNAL OF MATHEMATICAL ECONOMICS. p. 86-100.
  • DI GIACINTO M.; FEDERICO S.; GOZZI F.; VIGNA E. (2014). Income drawdown Option with Minimum Guarantees, in EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. p. 610-624.
  • GASSIAT P.; GOZZI F.; PHAM H. (2014). Investment/consumption problem in illiquid markets with regime-switching, in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 1761-1786.
  • GASSIAT P.; GOZZI F.; PHAM H. (2014). Dynamic Programming for an Investment/Consumption problem in illiquid markets with regime-switching. In: Stochastic Analysis and Control in honor of J. Zabczyk, Stochastic Analysis and Control in honor of J. Zabczyk - Bedlewo (Polonia), Giugno 2013, Month 1.
  • M. BAMBI; G. FABBRI; F. GOZZI (2012). Optimal policy and consumption smoothing effects in the time-to-build AK model, in ECONOMIC THEORY. p. 635-669.
  • DI GIACINTO M; FEDERICO S; F. GOZZI (2011). Pension Funds with a Minimum Guarantee: A Stochastic Control Approach, in FINANCE AND STOCHASTICS. p. 297-342.
  • FEDERICO S; GOLDYS B; F. GOZZI (2011). HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations, in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 2378-2414.
  • R. Boucekkine; G. Fabbri; F. Gozzi (2011). Revisiting the optimal population size problem under endogenous growth: Minimal utility level and finite life, in ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS. p. 287-306.
  • BOUCEKKINE RAOUF; FABBRI GIORGIO; F. GOZZI (2010). Maintenance and Investment: Complements or Substitutes? A Reappraisal, in JOURNAL OF ECONOMIC DYNAMICS & CONTROL. p. 2420-2439.
  • FEDERICO S; GOLDYS B; F. GOZZI (2010). HJB Equations for the Optimal Control of DDE’s with State Constraints, I: Regularity of Viscosity Solutions, in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 4910-4937.
  • F. GOZZI; SWIECH A; ZHOU X.Y (2010). Erratum to "A corrected proof of the stochastic verification theorem within the framework of viscosity solutions", in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 4177-4179.
  • FAGGIAN S; F. GOZZI (2010). Optimal investment models with vintage capital: Dynamic programming approach, in JOURNAL OF MATHEMATICAL ECONOMICS. p. 416-437.
  • DI GIACINTO M; FEDERICO S; F. GOZZI; VIGNA E (2010). Constrained portfolio choices in the decumulation phase of a pension plan. In: Carlo Alberto Notebooks, Torino: . ISBN: 10.1016/j.jmateco.2010.02.006.
  • FRENI G; F. GOZZI; SALVADORI N (2010). Existence of optimal strategies in linear multisector models with several consumption goods. In: MPRA Munich Personal Repec Archive, Munich: . ISBN: 10.1016/j.jmateco.2010.02.006.
  • FABBRI G; F. GOZZI; SWIECH A (2009). Verification theorem and construction of epsilon-optimal controls for control of abstract evolution equations, in JOURNAL OF CONVEX ANALYSIS. Month 1,
  • CRETAROLA A; F. GOZZI; PHAM H; TANKOV P (2009). Optimal consumption in illiquid markets, in FINANCE AND STOCHASTICS. Month 1,
  • F. GOZZI; SWIECH A.; ZHOU X.Y. (2009). A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions, in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 2009-2019.
  • F. GOZZI; MARINELLI C; SAVIN S (2009). Optimal advertising under uncertainty with carryover effects, in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS. Month 1,
  • FABBRI G; F. GOZZI (2008). Solving optimal growth models with vintage capital: The dynamic programming approach, in JOURNAL OF ECONOMIC THEORY. p. 331-373.
  • FRENI G; F. GOZZI; PIGNOTTI C (2008). A Multisector AK model with endogenous growth: Value function and optimality conditions, in JOURNAL OF MATHEMATICAL ECONOMICS. p. 55-86.
  • FABBRI, G.; FAGGIAN, S.; GOZZI, F. (2008). On Dynamic Programming in Economic Models Governed by DDEs, in MATHEMATICAL POPULATION STUDIES. p. 267-290.
  • FABBRI G; F. GOZZI (2008). Vintage Capital in the AK growth model: a dynamic programming approach: extended version. In: , Month 1, ISBN: 10.1080/08898480802440836.
  • CASTELLANI M; F. GOZZI; BUSCEMA M; LATTANZI F; MAZZOLI L; VEREDICE A (2007). Precorso di Matematica. BOLOGNA: Esculapio. Month 1, p. 1-205. ISBN: 9788874882267.
  • GIULI M.; GOZZI F.; MONTE R.; VESPRI V. (2007). Generation of analytic semigroup and domain characterization for degenerate elliptic operators with unbounded coefficients arising in Financial Mathematics, part II.. In: Evolution Equations 2006, BERLIN, Month 1.
  • Giuseppe Freni; Fausto Gozzi; Neri Salvadori (2006). Existence of optimal strategies in linear multisector models, in ECONOMIC THEORY. p. 25-48.
  • F. GOZZI; MARINELLI C (2006). Stochastic optimal control of delay equations arising in advertising models. In: PDE’s and Applications VII, PDE’s and Applications VII - Levico, Terme, Italy, January 5-10, 2004.,
  • GOLDYS B.; F. GOZZI (2006). Second order Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: L2 approach., in STOCHASTIC PROCESSES AND THEIR APPLICATIONS. p. 1932-1963.
  • F. GOZZI; F. RUSSO (2006). WEAK DIRICHLET PROCESSES WITH A STOCHASTIC CONTROL PERSPECTIVE, in STOCHASTIC PROCESSES AND THEIR APPLICATIONS. p. 1563-1583.
  • F. GOZZI; RUSSO F. (2006). Verification Theorems for Stochstic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition, in STOCHASTIC PROCESSES AND THEIR APPLICATIONS. p. 1530-1562.
  • F. GOZZI (2006). Smoothing properties of nonlinear Transition Semigroups: case of Lipschitz nonlinearities, in JOURNAL OF EVOLUTION EQUATIONS. p. 711-743.
  • Fausto Gozzi; S. S. Sritharan; Andrezej Świȩch (2005). Bellman Equations Associated to The Optimal Feedback Control of Stochastic Navier-Stokes Equations, in COMMUNICATIONS ON PURE AND APPLIED MATHEMATICS. p. 671-700.
  • F. GOZZI; FAGGIAN S. (2004). On the dynamic programming approach for optimal control problems of PDE's with age structure, in MATHEMATICAL POPULATION STUDIES. p. 233-270.
  • GOLDYS B.; F. GOZZI; VAN NEERVEN J.M.A.M. (2003). On the Closability of Directional Gradients., in POTENTIAL ANALYSIS. p. 289-310.
  • SBARAGLIA S.; PAPI M.; BRIANI M; BERNASCHI M.; F. GOZZI (2003). A model for the optimal asset liability management for insurance companies., in INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. p. 277-299.
  • FRENI G.; F. GOZZI; SALVADORI N. (2003). Endogenous Growth in a Multi-Sector Economy. In: The Theory of Economic Growth: a 'Classical' Perspective, Month 1.
  • F. GOZZI; MONTE R.; TESSITORE M.E. (2003). On the dynamic programming approach for incentive constrained problems. In: , Month 1, ISBN: 2-s2.0-0142055298.
  • F. GOZZI; MONTE R.; VESPRI V. (2002). Generation of analytic semigroup and domain characterization for degenerate elliptic operators with unbounded coefficients arising in Financial Mathematics, part I., in DIFFERENTIAL AND INTEGRAL EQUATIONS. p. 1085-1128.
  • F. GOZZI; VARGIOLU T. (2002). On the superreplication approach for european multiasset derivatives., in MATHEMATICAL METHODS OF OPERATIONS RESEARCH. p. 69-91.
  • BARUCCI E.; F. GOZZI (2002). Technology Adoption and Accumulation in a Vintage Capital Model, in JOURNAL OF ECONOMICS. p. 1-38.
  • F. GOZZI; SWIECH A.; SRITHARAN S.S. (2002). Viscosity solutions of dynamic programming equations for optimal control of Navier-Stokes equations., in ARCHIVE FOR RATIONAL MECHANICS AND ANALYSIS. p. 295-327.
  • F. GOZZI (2002). Second order Hamilton-Jacobi Equations in Hilbert Spaces and Stochastic Control.. In: Stochastic PDE's and Applications (Trento 2002), Month 1.
  • FRENI G.; F. GOZZI; SALVADORI N. (2001). A Multisector ``AK Model'' with Endogenous Growth: Existence and Characterization of Optimal Paths and Steady States Analysis.. In: , Month 1, ISBN: 2-s2.0-0142055298.
  • FRENI G.; F. GOZZI (2001). On a dynamic nonsubstitution theorem and other issues in Burgstaller's ``Property and prices'', in METROECONOMICA. p. 181-196.
  • F. GOZZI; VARGIOLU T (2001). On the superreplication approach for interest rates derivatives.. In: Conference on Stochastic Analysis, Random Fields and Applic., Ascona, Svizzera., Month 1.
  • F. GOZZI; CASTELLANI M. (2001). Matematica di Base per l'economia e l'azienda. Esercizi e testi d'esame svolti.. BOLOGNA: Esculapio. Month 1, ISBN: 2-s2.0-0142055298.
  • Cozzani, Valerio; Gozzi, Fausto; Mazzoni, Antonio; Zanelli, Severino (2001). Assessment of probabilistic models for the estimation of accident propagation hazards. In: Safety and reliability : towards a safer world : proceedings of the European conference on safety and reliability, ESRel 2001, Torino, Italy, 16-20 September, p. 807-814. Torino: Politecnico. ISBN: 2-s2.0-0142055298.
  • F. GOZZI; ROUY E.; SWIECH A. (2000). Second order Hamilton-Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control., in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 400-430.
  • BARUCCI E.; F. GOZZI; SWIECH A. (2000). Incentive Compatibility Constraints and Dynamic Programming in Continuous Time., in JOURNAL OF MATHEMATICAL ECONOMICS. p. 471-508.
  • F. GOZZI; SWIECH A. (2000). Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation., in JOURNAL OF FUNCTIONAL ANALYSIS. p. 466-510.
  • F. GOZZI; LORETI P. (1999). Regularity of the minimum time function and minimum energy problems: the linear case., in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 1195-1221.
  • BARUCCI E.; F. GOZZI (1999). Optimal Advertising with a Continuum of Goods.. In: Sixth Viennese Workshop on Opt. Control, Dynamic Games, etc., Vienna (Austria),
  • Barucci, E.; Gozzi, F.; Vespri, V. (1999). A Semigroup Approach to No-Arbitrage Pricing Theory. In: 2nd Seminar on Stochastic Analysis, Random Fields and Applications, 2nd Seminar on Stochastic Analysis, Random Fields and Applications - CTR STEFANO FRANSCINI, ASCONA, SWITZERLAND, 16-21 Settembre 1996,
  • BARUCCI E.; F. GOZZI (1998). On Investments in a Vintage Capital Model., in RESEARCH IN ECONOMICS. p. 159-188.
  • F. GOZZI; TESSITORE M.E. (1998). Optimality Conditions for Dirichlet Boundary Control Problems of Parabolic Type., in JOURNAL OF MATHEMATICAL SYSTEMS, ESTIMATION, AND CONTROL. p. "_"-"_".
  • FLANDOLI F.; F. GOZZI (1998). Kolmogorov Equations Associated to Stochastic Navier-Stokes Equations., in JOURNAL OF FUNCTIONAL ANALYSIS. p. 312-336.
  • F. GOZZI (1997). Strong Solutions for Kolmogorov Equations in Hilbert Spaces.. In: PDE's methods in control shape optimiz. and stoch. modelling, Scuola Norm., Pisa,
  • F. GOZZI; MONTE R.; VESPRI V. (1997). Generation of analytic semigroups for degenerate elliptic operators arising in financial mathematics.. In: , Month 1, ISBN: 2-s2.0-0000231334.
  • F. GOZZI; TESSITORE M.E. (1997). Sufficient Conditions for Dirichlet boundary control Problems of Parabolic type.. In: PDE's methods in control shape optimiz. and stoch. modelling, Scuola Norm., Pisa,
  • F. GOZZI (1996). Global Regular Solutions of Second Order Hamilton-Jacobi Equations in Hilbert spaces with locally Lipschitz nonlinearities., in JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. p. 399-443.
  • F. GOZZI; ROUY E. (1996). Regular Solutions of Stationary Hamilton-Jacobi Equations in Infinite Dimensions., in JOURNAL OF DIFFERENTIAL EQUATIONS. p. 201-234.
  • F. GOZZI (1996). Alcune osservazioni sull'immunizzazione semideterministica.. In: XX convegno AMASES, Urbino, Month 1.
  • CERRAI S.; F. GOZZI (1995). Strong solutions of Cauchy Problems associated to weakly continuous semigroups., in DIFFERENTIAL AND INTEGRAL EQUATIONS. p. 465-486.
  • F. GOZZI (1995). Regularity of solutions of a second order Hamilton-Jacobi equation in Hilbert spaces and application to a control problem., in COMMUNICATIONS IN PARTIAL DIFFERENTIAL EQUATIONS. p. 775-826.
  • F. GOZZI (1995). Transition Semigroups and Solutions of Kolmogorov Equations in Hilbert Spaces.. In: , ISBN: 2-s2.0-0030094496.
  • CANNARSA P.; F. GOZZI; SONER H.M. (1993). A dynamic programming approach to nonlinear boundary control problems of parabolic type, in JOURNAL OF FUNCTIONAL ANALYSIS. p. 25-61.
  • CANNARSA P.; F. GOZZI (1992). On the smoothness of the value function along optimal trajectories.. In: Conference IFIP ``Boundary Control and Boundary Variations'' de Sophia Antipolis, Month 1.
  • F. GOZZI (1991). Some results for an optimal control problem with a semilinear state equation II., in SIAM JOURNAL ON CONTROL AND OPTIMIZATION. p. 751-768.
  • CANNARSA P.; F. GOZZI; SONER H.M. (1991). A boundary value problem for Hamilton-Jacobi equations in Hilbert spaces., in APPLIED MATHEMATICS AND OPTIMIZATION. p. 197-220.
  • F. GOZZI (1989). Some results for an infinite horizon control problem governed by a semilinear state equation.. In: 4th Int. Conf. on Control and estimation of distributed parameter SYSTEMS, VORAU,
  • F. GOZZI (1988). Some results for an optimal control problem with a semilinear state equation I., in ATTI DELLA ACCADEMIA NAZIONALE DEI LINCEI. RENDICONTI DELLA CLASSE DI SCIENZE FISICHE, MATEMATICHE E NATURALI. p. 423-429.