Curriculum vitae of Salvatore Federico Personal data
Birthdate: November 3rd, 1979.
Married, two children.
E-mail: salvatore.federico@unisi.it
Webpage: http://docenti.unisi.it/salvatorefederico/
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 Full Professor of Mathematical Analysis and Probability.
- Italian habilitation as Full Professor of Mathematics Applied to Economics and Social Sciences.
- Italian habilitation as Full Professor of Political Economics.
- Research interests:
- Optimal (stochastic) control in finite and infinite dimension.
- Economic and financial applications of optimal control theory.
- Delay (stochastic) differential equations.
- Scientific collaborations:
- Ren´e A¨ıd, Universit´e Paris Dauphine.
- Mauro Bambi, University of York, UK.
- Raouf Boucekkine, Universit´e Aix-Marseille.
- Andrea Cosso, Universit`a di Bologna.
- Tiziano De Angelis, University of Leeds, UK.
- Marina Di Giacinto, Universit`a di Cassino.
- Cristina Di Girolami, Universit`a di Chieti-Pescara.
- Giorgio Ferrari, University of Bielefeld.
- Giorgio Fabbri, Universit´e Aix-Marseille e CNRS.
- Paul Gassiat, Universit´e Paris Dauphine.
- Ben Goldys, University of Sydney.
- Fausto Gozzi, Luiss (Roma).
- Huyˆen Pham, Universit´e Paris 7.
- Frank Riedel, University of Bielefeld.
- Michael R ¨ockner, University of Bielefeld.
- Mauro Rosestolato, Ecole Polytecnique (Parigi).
- Jun Sekine, Osaka University.
- Elisa Tacconi, Universit`a Bocconi.
- Peter Tankov, ENSAE - Paris Tech.
- Nizar Touzi, Ecole Polytechnique (Parigi).
- Vladimir Veliov, TU Vienna.
- Elena Vigna, Universit`a di Torino e Collegio Carlo Alberto.
- Bertrand Villeneuve, Universit´e Paris Dauphine.
- Bernt Øksendal, CMA - University of Oslo.
Past academic positions
- January 2012 - March 2015: Ricercatore (Assistant Professor) at the University of Milan (Italy).
- October 2010 - December 2011: Post-doc at the Laboratoire de Probabilit´es et Mod´eles Al´eatoires du CNRS de l’Universit´e Paris 7.
- January 2009 - September 2010: Assegnista di ricerca (post-doc) at LUISS University, Rome.
- November 2008 - December 2008: Assegnista di ricerca (post-doc) at the University of Florence.
Education
- 2005-2007: PhD student in Mathematics for Finance at Scuola Normale Superiore, Pisa.
- 1stclassified in the entrance examination with the mark 8,9/10.
- Thesis defended on December 22th, 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 Universit¨at of Wien, invited by Vladimir Veliov.
- February 2012: one week at the Universit´e Paris Diderot (Paris 7), invited by Huyˆen Pham and Peter Tankov.
- April 2013: one week at 1 Ecole Polytechnique (Paris), invited by Nizar Touzi.
- April 2013: one week at the Universit´e Paris 7, invited by Ren´e A¨ıd and Huyˆen 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 Universit´e Paris Diderot (Paris 7), invited by Huyˆen Pham.
- Jun 2014: one week at the University of York, invited by Mauro Bambi.
- April 2015: one week at the A¨ıx-Marseille School of Economics, invited by Raouf Boucekkine.
- July 2015: one week at the Zentrum f ¨ur Interdisziplin¨are Forschung of Bielefeld, invited by Gior- gio Ferrari.
- December 2017: one week at the University of Bielefeld, invited by Giorgio Ferrari.
- May 2018: one week at the University of Turku (Finland), invited by Luis Alvarez.
Talks in academic institutions
- University of New South Wales, Sydney, June 2008.
- Humboldt Universit¨at, Berlin, September 2008.
- Universit`a di Firenze, November 2008.
- Centre of Mathematics for Applications, University of Oslo, May 2009, - Universit´e de Paris Diderot (Paris VII), December 2010.
- Ecole Nationale Sup´erieure de Techniques Avanc´ees (ENSTA), Parigi, Gennaio 2011.
- Universit´e de Le Mans, November 2010.
- Luiss (Rome), November 2012.
- Luiss (Rome), January 2013.
- University of Pisa, January 2014.
- University of Manchester, June 2014.
- Universit`a di Firenze, December 2014.
- Universit`a di Siena, June 2017.
- Abo Akademi, Turku (Finland), May 2018.
Talks at conferences
- Invited
- Complexity Day - Centro Studi Dinamiche Complesse, March 2009, Florence.
- First Florence-Ritsumeikan Workshop on Finance and Risk Theory, March 11/12, 2009, Florence.
- Viennese Vintage Workshop, December 4/5, 2009, Wien.
- Workshop “Stochastic Control in Finance”, March 18/23, 2010, Roscoff, France.
- EURO XXIV, July 11/14, 2010, Lisbon.
- Control of PDE’s with nonlocal terms, Institute Henry Poincar´e, December 16/17, 2010, Paris.
- 12th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, TU Wien, May 30 - June 2, 2012.
- Workshop on Stochastic Analysis and Applications, Centre Interfacultaire Beroulli, EFPL, Lausanne, June 4-8, 2012.
- 5th Florence-Ritsumeikan Workshop, University of Florence, March 12-13, 2013.
- Workshop “Stochastics and Real World Models”, Bielefeld (Germany), July 15-19, 2013.
– Conference “Stochastic Partial Differential Equations and Applications - IX” Levico Terme (TN), January 6-12, 2014.
- Workshop ”Mathematical Finance and Related Issues”, Osaka (Japan), March 16-20, 2015.
- “13th Viennese Workshop on Optimal Control and Dynamic Games”, Vienna, May 13-16, 2015.
- Workshop “Strategic Aspects of Optimal Stopping and Control in Economics and Finance”, Bielefeld (Germany), July 9-11, 2015.
- Convegno GNAMPA 2016, June 20-23, Montecatini Terme (Italy).
- Workshop “Optimal Stopping in Complex Environments”, University of Bielefeld, December 18-20, 2017,
- 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, 2017, Universit`a di Milano Bicocca (Italy).
- International Workshop “Economic Growth, Macroeconomic Dynamics and Agents’ Heterogeneity”
May 25-26, 2017, European University of St. Petersburg (Russia).
- First Italian Meeting on Probability and Mathematical Statistics, June 19–22, 2017. Politecnico di Torino (Italy).
- XLI Convegno Amases, Cagliari 14/16 Settembre 2017.
- 10th International Conference on Nonlinear Economic Dynamics, Pisa 7–9 Settembre 2017.
Research projects and grants
- 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 na- tional project: Wolfgang Runggaldier, Universit`a di Padova (Italy).
- 2010: In charge of the research project “On the analysis of distributional properties of controlled stochas- tic 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, Universit`a 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, Universit`a di Milano Bicocca (Italy).
- 2018: Winner of the national research grant to finance the best 25% of Asssociate Professors apply- ing for the grant.
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 (Universit`a degli Studi di Milano).
Organizing activity
- January 2015: Organizer of the one-day Workshop “Path-dependent PDEs and Stochastic Equations with Memory”, Universit`a di Milano.
Institutional activity
- Member of the Scientific Committee of the PhD program LASER of the University of Milan (aca- demic year 2014/15).
- Member of Committee for the selection of temporary researchers and teaching tutors at the Uni- versity 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, Optimiza- tion 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 Sci- ences” of the Universit`a di Milano.
- April-June 2012: Matematica per le Scienze Sociali (40 hours), Universit`a di Milano.
- September 2012: Mathematics (in English - 40 hours) Universit`a di Milano.
- September 2013: Mathematics (in English - 40 hours), Universit`a di Milano.
- September-December 2013: Matematica per le Scienze Sociali (40 hours), Universit`a 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), Universit`a di Milano.
- January-March 2015: Mathematics (40 hours - in English), Universit`a di Milano.
- September-November 2015: Matematica per le Applicazioni Economiche (48 hours), Universit`a di Firenze.
- September-October 2016: Matematica per le Applicazioni Economiche (24 hours), Universit`a di Firenze.
- September-November 2016: Portfolio Choice and Optimization (in English - 48 hours), Universit`a di Firenze.
- March-May 2017: Modelli dei Mercati Finanziari (36 hours), Universit`a di Siena.
- March-April 2017: Credit Risk Modeling (in English - 24 hours), Universit`a di Siena.
- September-December 2017: Matematca Generale (60 hours), Universit`a di Siena.
- April 2017, Universit`a di Siena, Introduction to continuous time dynamic optimization, PhD program in Economics (in English - 10 hours).
- March-April 2018: Modelli dei Mercati Finanziari (30 hours), Universit`a di Siena.
- March-April 2018: Credit Risk Modeling (in English - 20 hours), Universit`a di Siena.
- March-April 2018, Universit`a di Siena, Introduction to continuous time dynamic optimization, PhD program in Economics (in English - 10 hours).
- May 2018: Introduction to Dynamic Programming for optimal control problems in continuous time (10 hours) for post-graduate students, University of Turku (Finland).
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 L´evy 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 Con- trol 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 guaran- tee. 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. A¨ıd, 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 observa- tion. 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. Mathematics of Operations Research. Vol 42, No. 4, pp. 1135–1161 (2017).
[17] A. Cosso, S. Federico, F. Gozzi, M. Rosestolato, N. Touzi, Viscosity solutions of path-dependent PDEs in infinite dimension. The Annals of Probability. Vol. 46, No. 1, 126–174 (2018).
[18] 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).
[19] S. Federico, F. Gozzi, Verification theorems for stocahastic 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] S. Federico, M. Rosestolato, C0-sequentially equicontinuous semigroups and applications to Markov transition semigroup. Kyoto Journal of Mathematics, forthcoming.
[21] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach, Journal of Economic Geography, forthcoming.
- Proceedings (refereed)
[22] 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
[23] S. Federico, M. Rosestolato, E. Tacconi, Irreversible investments with fixed adjustment costs:
an impulse stochastic control approach. ArXiv preprint.
[24] R. Boucekkine, G. Fabbri, S. Federico, F. Gozzi, Geographic Environmental Kuznets Curves:
the Optimal Growth Linear-Quadratic Case. Preprint HAL.
