Curriculum vitae of Salvatore Federico Personal data Birthdate: November 3 rd, 1979. Married, two children. E-mail: salvatore.federico@unisi.it Webpage: http://sfederico.altervista.org Academic general information - Current Position (since November 2016): Associate Professor of Mathematics Applied to Economics and Social Sciences at the University of Siena (Italy). - Other academic habilitations: - Italian habilitation as Associate Professor of Mathematical Analysis and Probability. - Italian habilitation as Full Professor of Mathematics Applied to Economics and Social Sciences. - Research interests: - Optimal (stochastic) control in finite and infinite dimension. - Economic and financial applications of optimal control theory. - Delay (stochastic) differential equations. - Scientific collaborations: - René Aïd, Paris Dauphine - EDF (Electricité de France). - Mauro Bambi, University of York, UK. - Raouf Boucekkine, Université Aix-Marseille. - Andrea Cosso, Politecnico di Milano. - Tiziano De Angelis, University of Leeds, UK. - Marina Di Giacinto, Università di Cassino. - Cristina Di Girolami, Università di Chieti-Pescara. - Giorgio Ferrari, University of Bielefeld. - Giorgio Fabbri, CNRS and Université Aix-Marseille. - Paul Gassiat, Université Paris Dauphine. - Ben Goldys, University of Sydney. - Fausto Gozzi, Luiss (Roma). - Huyên Pham, Université Paris 7. - Mauro Rosestolato, Ecole Polytechnique (Paris). - Jun Sekine, Osaka University. - Elisa Tacconi, Università Bocconi. - Peter Tankov, Université Paris 7. - Nizar Touzi, Ecole Polytechnique (Paris). - Vladimir Veliov, TU Vienna. - Elena Vigna, Università di Torino e Collegio Carlo Alberto. - Bertrand Villeneuve, Université Paris Dauphine. - Bernt Øksendal, University of Oslo.
Past academic positions - April 2015 - October 2016: Ricercatore confermato (Assistant Professor) in Mathematics Applied to Economics and Social Sciences at the University of Florence (Italy). - September 2011 - March 2015: Ricercatore (Assistant Professor) at the University of Milan (Italy). - October 2010 - December 2011: Post-doc at the Laboratoire de Probabilités et Modéles Aléatoires du CNRS de l Université Paris 7. - January 2009 - September 2010: temporary research contract at LUISS University, Rome. - November 2008 - December 2008: temporary research contract at the University of Florence. Education - 2005-2007: PhD student in Mathematics for Finance at Scuola Normale Superiore, Pisa. - 1 st classified in the entrance examination with the mark 8,9/10. - Thesis defended on December 22 th, 2009, with the mark 70/70 cum laude. - Thesis title: Stochastic optimal control problems for pension funds management. - Advisor: Fausto Gozzi (LUISS University, Rome). - Referees: Nizar Touzi (Ecole Polytechnique, Paris), Hanspeter Schmidli (University of Cologne). - Jury: - Stefano Marmi (head of the jury), Scuola Normale Superiore, Pisa; - Sara Biagini, University of Pisa. - Giuseppe Da Prato, Scuola Normale Superiore, Pisa; - Franco Flandoli, University of Pisa; - Fausto Gozzi, LUISS University, Rome; - Maurizio Pratelli, University of Pisa; - Hanspeter Schmidli, University of Cologne; - 2004: Mathematics graduate at University of Pisa, with the mark 110/110 cum laude. - Specialization: Probability and Statistics. - Thesis title: Misure di rischio su modelli finainziari. - Advisor: Maurizio Pratelli (University of Pisa).
Visits to other universities - April-June 2008: three months at the University of New South Wales (Sydney), invited by Ben Goldys. - September 2008: one week at the Humboldt Universitat (Berlin), invited by Markus Fischer. - May-June 2009: two months at the Univeristy of Oslo, invited by Bernt Øksendal. Supported by a grant of ESF (AMaMeF project). - October 2009: one-month at the Technische Universität of Wien, invited by Vladimir Veliov. - February 2012: one week at the Université Paris Diderot (Paris 7), invited by Huyên Pham and Peter Tankov. - April 2013: one week at 1 Ecole Polytechnique (Paris), invited by Nizar Touzi. - April 2013: one week at the Université Paris 7, invited by René Aïd and Huyên Pham. - June-July 2013: four weeks at the University of Bielefeld, invited by Giorgio Ferrari. Supported by a grant of DAAD. - March 2014: one week at the Université Paris Diderot (Paris 7), invited by Huyên Pham. - Jun 2014: one week at the University of York, invited by Mauro Bambi. - April 2015: one week at the Aïx-Marseille School of Economics, invited by Raouf Boucekkine. - July 2015: one week at the Zentrum für Interdisziplinäre Forschung of Bielefeld, invited by Giorgio Ferrari. Talks at other Universities - University of New South Wales, Sydney, June 2008. Dynamic programming and control problems with delay. - Humboldt Universität, Berlin, September 2008. Infinite dimensional representation for control problems with delay. - Università di Firenze, November 2008. Optimal management of pension funds: a stochastic control approach. - Centre of Mathematics for Applications, University of Oslo, May 2009, Optimal control of systems with delay. - Université de Paris Diderot (Paris VII), December 2010, Infinite-dimensional representation for control problems with delay. - Ecole Nationale Supérieure de Techniques Avancées (ENSTA), Parigi, Gennaio 2011, Infinitedimensional representation for control problems with delay. - Université de Le Mans, November 2010, Control problems with delay and applications to Economics and Finance. - Luiss (Rome), November 2012, Whither path to growth? - Luiss (Rome), January 2013, Impact of time illiquidity in a mixed market without full observation. - University of Pisa, January 2014, Directional regularity and verification theorems for control problems with delay, within the Meeting on path-dependent SDE s and related topics. - University of Manchester, June 2014, Impact of time illiquidity in a mixed market without full observation - Università di Firenze, December 2014, Alcuni problemi di controllo ottimo in Economia e Finanza.
Talks at conferences - Invited - Complexity Day - Centro Studi Dinamiche Complesse, March 2009, Florence. Problemi di controllo in Economia e Finanza. - First Florence-Ritsumeikan Workshop on Finance and Risk Theory, March 11/12, 2009, Florence. Stochastic control for the optimal management of a pension fund. - Viennese Vintage Workshop, December 4/5, 2009, Wien. Endogeneous growth with heterogeneous technologies. - Workshop Stochastic Control in Finance, March 18/23, 2010, Roscoff, France. Constrained portfolio choices in the decumulation phase of a pension plan. - EURO XXIV, July 11/14, 2010, Lisbon. On HJB equations associated to the Optimal Control of DDE s: Regularity and Optimal Feedbacks. - Control of PDE s with nonlocal terms, Institute Henry Poincaré, December 16/17, 2010, Paris. Optimal control of differential equations with delay in the state and economic applications. - 12th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, TU Wien, May 30 - June 2, 2012. HJB equations for the optimal control of differential equations with delay: regularity of viscosity solutions. - Workshop on Stochastic Analysis and Applications, Centre Interfacultaire Beroulli, EFPL, Lausanne, June 4-8, 2012. Smooth-fit principle for an irreversible investment problem. - 5th Florence-Ritsumeikan Workshop, University of Florence, March 12-13, 2013. Impact of time illiquidity in a mixed market without full observation. - Workshop Stochastics and Real World Models, Bielefeld (Germany), July 15-19, 2013. Characterization of optimal boundaries in reversible investment problems. Conference Stochastic Partial Differential Equations and Applications - IX Levico Terme (TN), January 6-12, 2014. Impact of time illiquidity in a mixed market without full observation. - Workshop Mathematical Finance and Related Issues, Osaka (Japan), March 16-20, 2015. Dual approach for two portfolio optimization problems. - 13th Viennese Workshop on Optimal Control and Dynamic Games, Vienna, May 13-16, 2015. Explicit investment rules with time-to-build and uncertainty. - Workshop Strategic Aspects of Optimal Stopping and Control in Economics and Finance, Bielefeld (Germany), July 9-11, 2015, Optimal capacity choices with time-to-build. - Convegno GNAMPA 2016, June 20-23, Montecatini Terme (Italy). Controllo stocastico singolare per alcuni problemi di investimento irreversibile. - Contributions - XXXI Convegno Amases, September 3/6, 2007, Lecce (Italy). - Workshop on Mathematical Control Theory, November 19/20, 2007, Milano Bicocca. - IX Workshop on Quantitative Finance, January 24/25, 2008, Rome (Italy). - XXXII Convegno Amases, September 1/4, 2008, Trento (Italy). - XXXIII Convegno Amases, September 1/4, 2009, Parma (Italy). - V General Amamef Conference, May 4/8, 2010, Bled, Slovenia. - XXXIV Convegno Amases, September 1/4, 2010, Macerata (Italy). - XII Workshop in Quantitative Finance, January 27/28, 2011, Padova (Italy). - XXXV Convegno Amases, September 15/17, 2010, Pisa (Italy). - XIII Workshop in Quantitative Finance, January 26/27, 2012, L Aquila (Italy). - Actuarial and financial mathematical conference, February 9/10, 2012, Bruxelles. - XIV Workshop in Quantitative Finance, January 24/25, 2013, Rimini (Italy). - Stochastic and deterministic dynamics in Economics and Finance, December 2-5, 2013, Scuola Normale Superiore di Pisa (Italy). - XV Workshop in Quantitative Finance, January 27/28, 2014, Florence (Italy). - XVII Workshop in Quantitative Finance, January 28/29, 2016, Scuola Normale Superiore di Pisa (Italy). - Conference Stochastic Partial Differential Equations and Applications - X Levico Terme (TN), May 30 - June 3, 2016. - XVIII Workshop in Quantitative Finance, January 25-27, 2016, Università di Milano Bococca (Italy).
Research projects - 2006-2007: Member of the Pisa University unit (responsibile Maurizio Pratelli) of the PRIN project Finanza Stocastica: applicazioni della teoria generale dei Processi Stocastici. Head of the national project: Wolfgang Runggaldier, Università di Padova (Italy). - 2010: In charge of the research project On the analysis of distributional properties of controlled stochastic processes and application to Portfolio Optimization (financed by INdAM - Istituto Nazionale di Alta Matematica). - 2010-2012: Member of the Pisa University unit (responsible Franco Flandoli) of the PRIN project Metodi deterministici e stocastici nello studio di problemi di evoluzione. Head of the national project: Alessandra Lunardi, Università di Parma (Italy). - 2014: In charge of the research project Equazioni stocastiche con memoria e applicazioni (financed by INdAM - Istituto Nazionale di Alta Matematica). - 2015: Member of the research project PDE correlate a sistemi stocastici con ritardo (financed by INdAM - Istituto Nazionale di Alta Matematica). Head: Federica Masiero, Università di Milano Bicocca (Italy). Awards and prizes - Luiss prize for research activity with (years 2008/09). - AMASES prize 2012 for PhD studies (best single author paper extracted from a PhD thesis in Mathematics applied to Social Sciences). Advising activity - Advisor of the PhD thesis of Elisa Tacconi (Luiss University, Rome). - Advisor of the Master thesis in Applied Mathematics of Andrea Ricciardi (Università degli Studi di Milano). Organizing activity - January 2015: Organizer of the one-day Workshop Path-dependent PDEs and Stochastic Equations with Memory, Università di Milano. Institutional activity - Member of the Scientific Committee of the PhD program LASER of the University of Milan (academic year 2014/15). - Member of Committee for the selection of temporary researchers and teaching tutors at the University of Florence (academic year 2015/16).
Refereeing activity Since 2012: reviewer for Mathematical Reviews (American Mathematical Society). Since 2017: reviewer for Zentralblatt MATH. Reviewer of a book proposal for Elsevier-ISTE. Reviewer for the following initernational journals: - SIAM Journal on Control and Optimization - Annals of Applied Probability - Stochastic Processes and their Applications - Stochastics - Finance and Stochastics - SIAM Journal on Financial Mathematics - Journal of Economic Dynamics and Control - Journal of Mathematical Analysis and Applications - Potential Analysis - Journal of Evolution Equations - European Journal of Operational Research - Scandinavian Actuarial Journal - Mathematical Control and Related Fields - Applied Mathematics and Optimization - Applied Mathematical Finance - Systems and Control Letters - Set-Valued and Variational Analysis - ESAIM - COCV: European Series in Applied and Industrial Mathematics - Control, Optimization and Calculus of Variations - Electronic Journal of Differential Equations - Electronic Journal of Probability - Journal of Optimization: Theory and Applications - Fluctuations and Noise Letters - Abstract and Applied Analysis - European Journal of Finance - International Journal of Stochastic Analysis - Journal of Mathematical Economics - European Journal of Applied Mathematics - Journal of Dynamical and Control Systems - Journal of Applied Probability / Advances in Applied Probability
Didactic activity - October-November 2008: Practice for the course of Constrained and unconstrained optimization in several variables (in English - 9 hours) for the Master MOSEC of the Luiss University (Rome). - April-May 2010: Practice for the course Quantitative methods in Economics (in English - 6 hours) for the PhD program in Economics, Markets, Institutions of the IMT (Lucca - Italy). - September 2011: Mathematics (in English - 40 hours) for the Master Economics and Political Sciences of the Università di Milano. - April-June 2012: Matematica per le Scienze Sociali (40 hours), Università di Milano. - September 2012: Mathematics (in English - 40 hours) Università di Milano. - September 2013: Mathematics (in English - 40 hours), Università di Milano. - September-December 2013: Mathematica per le Scienze Sociali (40 hours), Università di Milano. - June 2014: Introduction to Dynamic Programming for optimal control problems in continuous time (6 hours) for post-graduate students, University of York. - September-December 2014: Matematica (80 hours), Università di Milano. - January-March 2015: Mathematics (40 hours - in English), Università di Milano. - September-November 2015: Matematica per le Applicazioni Economiche (48 hours), Università di Firenze. - September-October 2016: Matematica per le Applicazioni Economiche (24 hours), Università di Firenze. - September-November 2016: Portfolio Choice and Optimization (in English - 48 hours), Università di Firenze.
Publications - International peer reviewed journals [1] S. Federico, B. Goldys, F. Gozzi, HJB Equations for the Optimal Control of Differential Equtions with Delays and State Constraints, I: Regularity of Viscosity Solutions. SIAM - Journal on Control and Optimization, Vol. 48, No. 8, pp,. 4910-4937 (2010). [2] S.Federico, B. Øksendal, Optimal stopping of stochastic differential equations with delay driven by a Lévy noise, Potential Analysis, Vol. 34, No. 2, pp. 181 198 (2011). [3] M. Di Giacinto, S. Federico, F. Gozzi, A pension fund with minimum guarantee: a stochastic control approach, Finance & Stochastics,Vol. XV, No. 2, pp. 297 342 (2011). [4] S. Federico, A stochastic control problem with delay arising in a pension fund model, Finance & Stochastics, Vol. XV, No. 3, pp. 421 459 (2011). [5] S. Federico, B. Goldys, F. Gozzi, HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks, SIAM - Journal on Control and Optimization, Vol. 49, No. 6, pp. 2378-2414 (2011). [6] M. Di Giacinto, S. Federico, F. Gozzi, E. Vigna, Income drawdown option with minimum guarantee. European Journal of Operational Research, Vol. 234, No. 3, pp. 610 624 (2014). [7] S. Federico, P. Gassiat Viscosity characterization of the value function of an investment consumption problem in a mixed liquid-illiquid market. Journal of Optimization Theory and Applications, Vol. 160, No. 3, pp. 966 991 (2014). [8] S. Federico, E. Tacconi, Dynamic Programming for Optimal Control Problems with Delays in the Control Variable. SIAM - Journal on Control and Optimization, Vol. 52, No. 2, pp. 1203-1236 (2014). [9] S. Federico, H. Pham, Characterization of optimal boundaries in reversible investment problems. SIAM - Journal on Control and Optimization, Vol. 52, No. 4, pp. 2180-2223 (2014). [10] S. Federico, P. Tankov, Exact or approximate finite-dimensional Markovian representation for stochastic control problems with delay. Applied Mathematics and Optimization, Vol. 71, No. 1, pp. 165-194 (2015). [11] S. Federico, P. Gassiat, F. Gozzi, Utility maximization with current utility depending on the wealth: Regularity of solutions to the HJB equation. Finance and Stochastics. Vol. 19, No. 2, pp. 415 448 (2015). [12] G. Fabbri, S. Federico, On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term, Mathematical Economics Letters, Vol. 2, No. 3-4, pp. 33-44 (2014). [13] R. Aïd, S. Federico, H. Pham, B. Villeneuve, Explicit investment rules with time-to-build and uncertainty. Journal of Economic Dynamics and Control, Vol. 51 (2015). [14] S. Federico, P. Gassiat, F. Gozzi, Impact of time illiquidity in a mixed market without full observation. Mathematical Finance, Vol. 27, No. 2, pp. 401 437 (2017). [15] M. Bambi, C. Di Girolami, S. Federico, F. Gozzi, Generically Distributed Investments on Flexible Projects and Endogenous Growth. Economic Theory, Vol. 63, No. 2, pp. 521-558 (2017). [16] T. De Angelis, S. Federico, G. Ferrari, Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Accepted for publication on Mathematics of Operations Research. Arxiv preprint. [17] S. Federico, F. Gozzi, Mild solutions of semilinear elliptic equations in Hilbert spaces. Journal of Differential Equations Vol. 262, No. 5, pp. 3343-3389 (2017). [18] A. Cosso, S. Federico, F. Gozzi, M. Rosestolato, N. Touzi, Viscosity solutions of path-dependent PDEs in infinite dimension. Accepted for publication on The Annals of Probability. Available online at the website of the journal.
- Proceedings (refereed) [19] S. Federico, A pension fund model in the accumulation phase: a stochastic control approach, Banach Center Publications: Advances in Mathematics of Finance, Vol. 83 (2008). - Submitted [20] S. Federico, M. Rosestolato, C 0 -sequentially equicontinuous semigroups and applications to Markov transition semigroup. Submitted, Arxiv preprint. [21] S. Federico, F. Gozzi, Verification theorems for stocahastic control problems in Hilbert spaces by means of a generalized Dynkin formula. Submitted. Arxiv Preprint.