Research interests
Theoretical features: Hamilton-Jacobi-Bellman equations in finite and infinite dimension; optimal (stochastic) control in finite and infinite dimension; differential games; delay and path-dependent systems.
Applied features: portfolio theory in continuous time; real options; economic growth with time-to-build and with spatial heterogeneity; environmental economics with spatial heterogeneity; epidemiological models; climate-change models.
Publications
• Published and accepted papers in international journals
[1] S. Federico, B. Goldys, F. Gozzi, HJB Equations for the Optimal Control of Differential Equations 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] M. Di Giacinto, S. Federico, F. Gozzi, A Pension Fund with Minimum Guarantee: A Stochastic Control Approach. Finance and Stochastics, Vol. 15, No. 2, pp. 297–342 (2011).
[3] S. Federico, A Stochastic Control Problem with Delay Arising in a Pension Fund Model. Finance and Stochastics, Vol. 15, No. 3, pp. 421–459 (2011).
[4] 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).
[5] 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).
[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, 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, Nos. 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, pp. 240–256 (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, On the Consequences of Flexible Investment Projects in an Endogenous Growth Model. 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. Mathematics of Operations Research, Vol. 42, No. 4, pp. 1135–1161 (2017).
[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, Path-Dependent Equations and Viscosity Solutions in Infinite Dimension. The Annals of Probability, Vol. 46, No. 1, pp. 125–174 (2018).
[19] S. Federico, F. Gozzi, Verification Theorems for Stochastic Control Problems in Hilbert Spaces by Means of a Generalized Dynkin Formula. The Annals of Applied Probability, Vol. 28, No. 6, pp. 3558–3599 (2018).
[20] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach. Journal of Economic Geography, Vol. 19, No. 6, pp. 1287–1318 (2019).
[21] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, Geographic Environmental Kuznets Curves: The Optimal Growth Linear-Quadratic Case. Mathematical Modelling of Natural Phenomena, Vol. 14, No. 1 (2019).
[22] S. Federico, M. Rosestolato, E. Tacconi, Irreversible Investment with Fixed Adjustment Costs: An Impulse Stochastic Control Approach. Mathematics and Financial Economics, Vol. 13, No. 4, pp. 579–616 (2019).
[23] S. Federico, M. Rosestolato, C0-Sequentially Equicontinuous Semigroups. Kyoto Journal of Mathematics, Vol. 60, No. 3, pp. 1131–1175 (2020).
[24] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, Control Theory in Infinite Dimension for the Optimal Location of Economic Activity: The Role of Social Welfare Function. Pure and Applied Functional Analysis, Vol. 6, No. 5, pp. 871–888 (2021).
[25] S. Federico, G. Ferrari, P. Schummann, A Singular Stochastic Control Problem with Interconnected Dynamics. SIAM Journal on Control and Optimization, Vol. 58, No. 5, pp. 2821–2853 (2020).
[26] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, From Firm to Global-Level Pollution Control: The Case of Transboundary Pollution. European Journal of Operational Research, Vol. 290, No. 1, pp. 331–345 (2021).
[27] S. Federico, G. Ferrari, Taming the Spread of an Epidemics by Lockdown Policies. Journal of Mathematical Economics, Vol. 93 (2021).
[28] S. Federico, G. Ferrari, F. Riedel, M. Röckner, On a Class of Infinite-Dimensional Singular Stochastic Control Problems. SIAM Journal on Control and Optimization, Vol. 59, No. 2, pp. 1680–1704 (2021).
[29] S. Federico, G. Ferrari, P. Schummann, Singular Control of the Drift of a Brownian System. Applied Mathematics and Optimization, Vol. 84, pp. 561–590 (2021).
[30] A. Calvia, S. Federico, F. Gozzi, State Constrained Control Problems in Banach Lattices and Applications. SIAM Journal on Control and Optimization, Vol. 59, No. 6, pp. 4481–4510 (2022).
[31] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, Managing Spatial Linkages and Geographic Heterogeneity in Dynamic Models with Transboundary Pollution. Journal of Mathematical Economics, Vol. 98 (2022).
[32] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, A Dynamic Theory of Spatial Externalities. Games and Economic Behavior, Vol. 132, pp. 133–165 (2022).
[33] S. Federico, G. Ferrari, M. L. Torrente, Optimal Vaccination in a SIRS Epidemic Model. Economic Theory, Vol. 75, pp. 1143–1172 (2022).
[34] G. Fabbri, S. Federico, D. Fiaschi, F. Gozzi, Mobility Decisions, Economic Dynamics and Epidemic. Economic Theory, Vol. 77, pp. 1133–1163 (2023).
[35] S. Federico, G. Ferrari, N. Rodosthenous, Two-Sided Singular Control of an Inventory with Unknown Demand Trend. SIAM Journal on Control and Optimization, Vol. 61, No. 5, pp. 2949–2977 (2023).
[36] S. Federico, G. Ferrari, M. L. Torrente, Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Mathematics and Financial Economics, Vol. 18, No. 4, pp. 707–733 (2024).
[37] F. De Feo, S. Federico, A. Święch, Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models. SIAM Journal on Control and Optimization, Vol. 62, No. 3, pp. 1490–1520 (2024).
[38] S. Federico, G. Ferrari, F. Riedel, M. Röckner, Variational Inequalities and Smooth-Fit Principle for Singular Stochastic Control Problems in Hilbert Spaces. The Annals of Applied Probability, in corso di pubblicazione.
[39] S. Federico, F. Gozzi, D. Ghilli, Linear-Quadratic Mean Field Games in Hilbert Spaces. SIAM Journal on Mathematical Analysis, Vol. 57, pp. 5821–5853 (2025).
[40] J. Dianetti, S. Federico, G. Ferrari, G. Floccari, Multiple Equilibria in Mean-Field Game Models for Large Oligopolies with Strategic Complementarities. Quantitative Finance, Vol. 25, pp. 343–357 (2025).
[41] S. Federico, F. Gozzi, A. Święch, On Mean Field Games in Infinite Dimension. Journal de Mathématiques Pures et Appliquées, Vol. 205, pp. 1–33 (2026).
[42] G. Fabbri, S. Faggian, S. Federico, F. Gozzi, Optimal Control in Infinite-Dimensional Spaces and Economic Modeling: State of the Art and Perspectives. Mathematical Models and Methods in Applied Sciences, Vol. 36, pp. 941–1017 (2026).
[43] S. Federico, G. Ferrari, M. Rosestolato, Partial Regularity of Semiconvex Viscosity Supersolutions to Fully Nonlinear Elliptic HJB Equations and Applications to Stochastic Control. SIAM Journal on Mathematical Analysis, Vol. 58, pp. 149–169 (2026).
[44] F. De Feo, S. Federico, F. Gozzi, N. Touzi, Sensitivity of Functionals of McKean–Vlasov SDEs with Respect to the Initial Distribution. Stochastic Processes and their Applications, Vol. 195, pp. 1–13 (2026).
[45] R. Aïd, S. Federico, G. Ferrari, N. Rodosthenous, Regulation in a Mean-Field Investment Game with Climate Damage. Mathematical Finance, online first.
[46] A. Calvia, S. Federico, G. Ferrari, F. Gozzi, A mean-field model of optimal investment. Accepted for publication on Applied Mathematics and Optimization.
• Papers on proceedings (refereed)
[47] 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).
• PhD thesis in Mathematics for Finance (Scuola Normale Superiore di Pisa).
Stochastic Optimal Control Problems for Pension Funds Management, 2009.