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Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models
2024-01-01 De Feo, Filippo; Federico, Salvatore; Święch, Andrzej
Optimal control of stochastic delay differential equations: Optimal feedback controls
2025-01-01 de FEO, Filippo; Święch, Andrzej
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
2024-01-01 de Feo, Filippo
The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
2021-01-01 de Feo, Filippo
The Order of Convergence in the Averaging Principle for Slow-Fast Systems of Stochastic Evolution Equations in Hilbert Spaces
2023-01-01 de FEO, Filippo