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Alessandro Calvia
Alessandro Calvia
Assistant Professor (tenure track), University of Parma
Verified email at unipr.it - Homepage
Title
Cited by
Cited by
Year
A simple planning problem for COVID-19 lockdown: a dynamic programming approach
A Calvia, F Gozzi, F Lippi, G Zanco
Economic Theory 77 (1), 169-196, 2024
112024
Risk measures and progressive enlargement of filtration: a BSDE approach
A Calvia, ER Gianin
SIAM Journal on Financial Mathematics 11 (3), 815-848, 2020
112020
State Constrained Control Problems in Banach Lattices and Applications
A Calvia, S Federico, F Gozzi
SIAM Journal on Control and Optimization 59 (6), 4481-4510, 2021
92021
Optimal control of continuous-time Markov chains with noise-free observation
A Calvia
SIAM Journal on Control and Optimization 56 (3), 2000-2035, 2018
72018
Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
A Calvia
ESAIM: Control, Optimisation and Calculus of Variations 26, 25, 2020
52020
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
E Bandini, A Calvia, K Colaneri
Stochastic Processes and their Applications 151, 396-435, 2022
42022
Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control
A Calvia, G Ferrari
Applied Mathematics & Optimization, 1-43, 2022
32022
An optimal control problem with state constraints in a spatio-temporal economic growth model on networks
A Calvia, F Gozzi, M Leocata, GI Papayiannis, A Xepapadeas, ...
arXiv preprint arXiv:2304.11568, 2023
22023
Optimal control of pure jump Markov processes with noise-free partial observation
A Calvia
UniversitÓ degli Studi di Milano-Bicocca, 2018
12018
A mean-field model of optimal investment
A Calvia, S Federico, G Ferrari, F Gozzi
arXiv preprint arXiv:2404.02871, 2024
2024
HJB equations and stochastic control on half-spaces of Hilbert spaces
A Calvia, G Cappa, F Gozzi, E Priola
Journal of Optimization Theory and Applications 198 (2), 710-744, 2023
2023
Il ruolo dell’informazione nella misurazione dei rischi finanziari: un approccio quantitativo
A Calvia
2020
Filtering of pure jump Markov processes with noise free observation
A CALVIA
Politecnico di Milano, 2013
2013
On a class of partially observed systems arising in singular optimal control
A Calvia, G Ferrari
STOCHASTIC METHODS IN FINANCE AND INSURANCE, 12, 0
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