Stochastic filtering, optimal control problems under full and partial observation, and their applications to economics, finance, and insurance.
Hamilton-Jacobi-Bellman equations, Backward Stochastic Differential Equations and their applications.
Stochastic processes with discontinuous trajectories, random measures and their applications.
Risk measures, g-expectations and robustness.
A. Calvia, F. Gozzi, M. Leocata, G. I. Papayiannis, A. Xepapadeas, A. N. Yannacopoulos, An optimal control problem with state constraints in a spatio-temporal economic growth model on networks, J. of Math. Econ., 113 (2024), 102991, D.O.I.,
Preprint version, arXiv:2304.11568.
A. Calvia, F. Gozzi, F. Lippi, G. Zanco, A simple planning problem for COVID-19 lockdown: a dynamic programming approach, Econ. Theory, 77:1-2 (2024), pp. 169–196, D.O.I., Open Access.
A. Calvia, G. Cappa, F. Gozzi, E. Priola, HJB equations and stochastic control on half-spaces of Hilbert spaces, J. Optim. Theory Appl., 198 (2023), pp. 710-744, D.O.I., Open Access.
E. Bandini, A. Calvia, K. Colaneri, Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics, Stoch. Proc. Appl., 151 (2022), pp. 396–435, D.O.I.
Preprint version, arXiv:2004.12944.
A. Calvia, G. Ferrari, Nonlinear filtering of partially observed systems arising in singular stochastic optimal control. Appl. Math. Optim., 85:25 (2022), D.O.I., Open Access.
A. Calvia, S. Federico, F. Gozzi, State constrained control problems in Banach lattices and applications, SIAM J. Control Optim., 59 (2021), pp. 4481–4510, D.O.I.
Preprint version, arXiv:2009.11268.
A. Calvia, E. Rosazza Gianin, Risk measures and progressive enlargement of filtration: a BSDE approach, SIAM J. Financial Math., 11 (2020), pp. 815-848, D.O.I.
Preprint version, arXiv:1904.13257.
A. Calvia, Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation, ESAIM: COCV, 26 (2020) 25, D.O.I.
Preprint version, arXiv:1803.0692.
A. Calvia, Optimal control of continuous-time Markov chains with noise-free observation, SIAM J. Control Optim., 56 (2018), pp. 2000–2035, D.O.I.
Preprint version, arXiv:1707.07202.
A. Calvia, S. Federico, G. Ferrari, F. Gozzi, Existence and uniqueness results for a mean-field game of optimal investment, arXiv:2404.02871v3.
A. Calvia, M. De Donno, C. Guardasoni, S. Sanfelici, Short-rate models with stochastic discontinuities: a PDE approach, arXiv:2510.04289v2.
A. Calvia, F. Cannerozzi, G. Ferrari, Optimal Policy Characterization for a Class of Multi-Dimensional Ergodic Singular Stochastic Control Problems, arXiv:2510.11158.
Optimal control of Piecewise Deterministic Markov Processes of McKean-Vlasov type, with Prof. Elena Bandini.
Partial smoothing and applications to optimal control problems, with Prof. Fausto Gozzi, Prof. Federica Masiero, and Prof. Gianmario Tessitore.
Optimal control with unobserved parameters, with Prof. Marco Fuhrman.
Economic growth models on networks with regime-switching dynamics, with Dr. Ilaria Stefani.
Optimal control of pure jump Markov processes with noise-free partial observation.
University of Milano-Bicocca, Dep. of Mathematics and its Applications.
PhD Program in Pure and Applied Mathematics. Thesis defended on 22 February 2018.