E. Mastrogiacomo

Available identifiers

zbMath Open mastrogiacomo.elisaMaRDI QIDQ308996

List of research outcomes

Publication	Date of Publication	Type
Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems	2023-08-07	Paper
Large deviation principle for spatial economic growth model on networks	2022-12-06	Paper
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models	2022-11-11	Paper
Dynamic capital allocation rules via BSDEs: an axiomatic approach	2021-12-16	Paper
Optimal investment strategies with a minimum performance constraint	2021-11-08	Paper
Set optimization of set-valued risk measures	2021-05-05	Paper
Qualitative robustness of set-valued value-at-risk	2020-03-09	Paper
Time-consistency of risk measures: how strong is such a property?	2019-10-23	Paper
Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels	2019-05-17	Paper
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study	2019-02-18	Paper
Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension	2017-07-25	Paper
A class of Lévy driven SDEs and their explicit invariant measures	2016-09-06	Paper
Portfolio Optimization with Quasiconvex Risk Measures	2016-01-29	Paper
Feedback optimal control for stochastic Volterra equations with completely monotone kernels	2015-11-02	Paper
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures	2015-04-29	Paper
https://portal.mardi4nfdi.de/entity/Q5416320	2014-05-19	Paper
Small noise asymptotic expansions for stochastic PDE's driven by dissipative nonlinearity and Lévy noise	2014-04-10	Paper
Optimal control for stochastic heat equation with memory	2014-03-11	Paper
Explicit invariant measures for infinite dimensional SDE driven by L\'evy noise with dissipative nonlinear drift I	2013-12-09	Paper
Optimal control for stochastic Volterra equations with completely monotone kernels	2012-08-10	Paper
An analytic approach to stochastic Volterra equations with completely monotone kernels	2012-06-02	Paper
Small noise asymptotic expansions for stochastic PDE's. I: The case of a dissipative polynomially bounded non linearity	2012-03-21	Paper
ANALYSIS OF THE STOCHASTIC FITZHUGH–NAGUMO SYSTEM	2008-12-11	Paper
Optimal control of stochastic differential equations with dynamical boundary conditions	2008-06-17	Paper
Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions	N/A	Paper

Research outcomes over time

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