Mauro Rosestolato

Centre de Mathématiques Appliquées
Ecole Polytechnique
91128 Palaiseau Cedex

Publications and preprints

Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance (with A. Swiech), Journal of Differential Equations, 262 (2017) no. 3, 1897-1930

Path-dependent equations and viscosity solutions in infinite dimension (with A. Cosso, S. Federico, F. Gozzi, and N. Touzi), to appear in The Annals of Probability (arXiv)

Irreversible investment with fixed adjustment costs: a stochastic impulse control approach (with S. Federico and E. Tacconi), preprint (arXiv)

Functional Itô calculus in Hilbert spaces and application to path-dependent Kolmogorov equations, preprint (arXiv)

-sequentially equicontinuous semigroups on locally convex spaces and application to Markov transition semigroups (with S. Federico), preprint (arXiv)

Path-dependent SDEs in Hilbert spaces, preprint (arXiv)

A note on stochastic Fubini's theorem and stochastic convolution, preprint (arXiv)

Robustness for path-dependent volatility models (with T. Vargiolu and G. Villani), Decisions in Economics and Finance, 36 (2013) no. 2, 137-167

Curriculum Vitae

Last modified on January 16, 2018.