Edit Profile (opens in new tab) Mastrogiacomo, Elisa Co-Author Distance Author ID: mastrogiacomo.elisa Published as: Mastrogiacomo, Elisa; Mastrogiacomo, E. Documents Indexed: 25 Publications since 2008, including 2 Additional arXiv Preprints 3 Contributions as Editor Co-Authors: 21 Co-Authors with 27 Joint Publications 623 Co-Co-Authors all top 5 Co-Authors 1 single-authored 9 Albeverio, Sergio A. 5 Di Persio, Luca 5 Rosazza Gianin, Emanuela 4 Bonaccorsi, Stefano 4 Confortola, Fulvia 4 Smii, Boubaker 3 Ugolini, Stefania 2 Tarsia, Marco 1 Barucci, Emilio 1 Consigli, Giorgio 1 Crespi, Giovanni Paolo 1 Fuhrman, Marco 1 Hilbert, Astrid 1 Hitaj, Asmerilda 1 Marazzina, Daniele 1 Marinelli, Carlo 1 Mazzucchi, Sonia 1 Morando, Paola 1 Rocca, Matteo 1 Rüdiger-Mastandrea, Barbara 1 Rüdiger, Barbara all top 5 Serials 3 Journal of Mathematical Analysis and Applications 3 Annals of Operations Research 3 Springer Proceedings in Mathematics & Statistics 1 Journal of Differential Equations 1 Journal of Mathematical Economics 1 Mathematics of Operations Research 1 SIAM Journal on Control and Optimization 1 Tôhoku Mathematical Journal. Second Series 1 Stochastic Processes and their Applications 1 Potential Analysis 1 Mathematical Methods of Operations Research 1 Infinite Dimensional Analysis, Quantum Probability and Related Topics 1 Journal of Evolution Equations 1 Decisions in Economics and Finance 1 Communications in Mathematical Sciences 1 Computational Management Science 1 Mathematics and Financial Economics 1 Mathematical Control and Related Fields 1 Evolution Equations and Control Theory all top 5 Fields 15 Probability theory and stochastic processes (60-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Partial differential equations (35-XX) 6 Integral equations (45-XX) 6 Systems theory; control (93-XX) 4 Biology and other natural sciences (92-XX) 3 General and overarching topics; collections (00-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Functional analysis (46-XX) 3 Operations research, mathematical programming (90-XX) 2 Real functions (26-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Operator theory (47-XX) 1 Quantum theory (81-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 19 Publications have been cited 139 times in 95 Documents Cited by ▼ Year ▼ Analysis of the stochastic Fitzhugh-Nagumo system. Zbl 1172.35422 Bonaccorsi, Stefano; Mastrogiacomo, Elisa 20 2008 Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087 Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 17 2015 A class of Lévy driven SDEs and their explicit invariant measures. Zbl 1350.60049 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa; Smii, Boubaker 15 2016 Optimal control for stochastic Volterra equations with completely monotone kernels. Zbl 1244.93172 Bonaccorsi, S.; Confortola, F.; Mastrogiacomo, E. 13 2012 Small noise asymptotic expansions for stochastic PDE’s. I: The case of a dissipative polynomially bounded non linearity. Zbl 1234.35328 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa 11 2011 Portfolio optimization with quasiconvex risk measures. Zbl 1330.90129 Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 10 2015 Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension. Zbl 1516.35579 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa; Smii, Boubaker 7 2017 Optimal control for stochastic heat equation with memory. Zbl 1292.45003 Confortola, Fulvia; Mastrogiacomo, Elisa 7 2014 Optimal control of stochastic differential equations with dynamical boundary conditions. Zbl 1141.60036 Bonaccorsi, Stefano; Confortola, Fulvia; Mastrogiacomo, Elisa 7 2008 Invariant measures for stochastic differential equations on networks. Zbl 1326.60082 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa 6 2013 An analytic approach to stochastic Volterra equations with completely monotone kernels. Zbl 1239.45001 Bonaccorsi, Stefano; Mastrogiacomo, Elisa 6 2009 Feedback optimal control for stochastic Volterra equations with completely monotone kernels. Zbl 1327.45013 Confortola, Fulvia; Mastrogiacomo, Elisa 4 2015 Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise. Zbl 1291.35452 Albeverio, Sergio; Mastrogiacomo, Elisa; Smii, Boubaker 4 2013 Optimal investment strategies with a minimum performance constraint. Zbl 1476.91137 Barucci, Emilio; Marazzina, Daniele; Mastrogiacomo, Elisa 3 2021 Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. Zbl 07024661 Consigli, Giorgio; Hitaj, Asmerilda; Mastrogiacomo, Elisa 2 2019 Qualitative robustness of set-valued value-at-risk. Zbl 1440.90064 Crespi, Giovanni Paolo; Mastrogiacomo, Elisa 2 2020 Set optimization of set-valued risk measures. Zbl 1461.91282 Mastrogiacomo, Elisa; Rocca, Matteo 2 2021 Time-consistency of risk measures: how strong is such a property? Zbl 1426.91310 Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela 2 2019 Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels. Zbl 1481.49025 Mastrogiacomo, E. 1 2019 Optimal investment strategies with a minimum performance constraint. Zbl 1476.91137 Barucci, Emilio; Marazzina, Daniele; Mastrogiacomo, Elisa 3 2021 Set optimization of set-valued risk measures. Zbl 1461.91282 Mastrogiacomo, Elisa; Rocca, Matteo 2 2021 Qualitative robustness of set-valued value-at-risk. Zbl 1440.90064 Crespi, Giovanni Paolo; Mastrogiacomo, Elisa 2 2020 Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. Zbl 07024661 Consigli, Giorgio; Hitaj, Asmerilda; Mastrogiacomo, Elisa 2 2019 Time-consistency of risk measures: how strong is such a property? Zbl 1426.91310 Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela 2 2019 Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels. Zbl 1481.49025 Mastrogiacomo, E. 1 2019 Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension. Zbl 1516.35579 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa; Smii, Boubaker 7 2017 A class of Lévy driven SDEs and their explicit invariant measures. Zbl 1350.60049 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa; Smii, Boubaker 15 2016 Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087 Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 17 2015 Portfolio optimization with quasiconvex risk measures. Zbl 1330.90129 Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 10 2015 Feedback optimal control for stochastic Volterra equations with completely monotone kernels. Zbl 1327.45013 Confortola, Fulvia; Mastrogiacomo, Elisa 4 2015 Optimal control for stochastic heat equation with memory. Zbl 1292.45003 Confortola, Fulvia; Mastrogiacomo, Elisa 7 2014 Invariant measures for stochastic differential equations on networks. Zbl 1326.60082 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa 6 2013 Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise. Zbl 1291.35452 Albeverio, Sergio; Mastrogiacomo, Elisa; Smii, Boubaker 4 2013 Optimal control for stochastic Volterra equations with completely monotone kernels. Zbl 1244.93172 Bonaccorsi, S.; Confortola, F.; Mastrogiacomo, E. 13 2012 Small noise asymptotic expansions for stochastic PDE’s. I: The case of a dissipative polynomially bounded non linearity. Zbl 1234.35328 Albeverio, Sergio; Di Persio, Luca; Mastrogiacomo, Elisa 11 2011 An analytic approach to stochastic Volterra equations with completely monotone kernels. Zbl 1239.45001 Bonaccorsi, Stefano; Mastrogiacomo, Elisa 6 2009 Analysis of the stochastic Fitzhugh-Nagumo system. Zbl 1172.35422 Bonaccorsi, Stefano; Mastrogiacomo, Elisa 20 2008 Optimal control of stochastic differential equations with dynamical boundary conditions. Zbl 1141.60036 Bonaccorsi, Stefano; Confortola, Fulvia; Mastrogiacomo, Elisa 7 2008 all cited Publications top 5 cited Publications all top 5 Cited by 151 Authors 11 Albeverio, Sergio A. 11 Mastrogiacomo, Elisa 9 Di Persio, Luca 7 Cordoni, Francesco Giuseppe 6 Rosazza Gianin, Emanuela 5 Bonaccorsi, Stefano 5 Wang, Tianxiao 4 Doldi, Alessandro 4 Smii, Boubaker 3 Confortola, Fulvia 3 Frittelli, Marco 3 Hamaguchi, Yushi 3 Kühn, Christian 2 Duan, Jinqiao 2 Hausenblas, Erika 2 Kagawa, Toshinao 2 Kovács, Mihály 2 Liebrich, Felix-Benedikt 2 Liu, Haiyan 2 Munari, Cosimo 2 Svindland, Gregor 2 Wang, Ruodu 2 Yahagi, Yumi 2 Yoshida, Minoru W. 2 Zhang, Haisen 2 Zhou, Jianjun 1 Ahmadi Javid, Amir 1 Ararat, Çağın 1 Behme, Anita Diana 1 Bellini, Fabio 1 Benner, Peter 1 Bensalem, Sarah 1 Biagini, Francesca 1 Bielecki, Tomasz R. 1 Bodnar, Taras 1 Boulakia, Muriel 1 Buckwar, Evelyn 1 Burzoni, Matteo 1 Calvia, Alessandro 1 Cannarsa, Piermarco 1 Centrone, Francesca 1 Chao, Ying 1 Chen, Lv 1 Chen, Shengzhong 1 Cialenco, Igor 1 Compagnoni, E. Monzio 1 Consigli, Giorgio 1 Dang Thanh Son 1 Desch, Gertrud 1 Ding, Guodong 1 Djendel, Khelifa 1 Durga, Nagarajan 1 Eichinger, Katharina 1 Embrechts, Paul 1 Fahim, Kistosil 1 Fallah-Tafti, Malihe 1 Feng, Yuanyuan 1 Fouque, Jean-Pierre 1 Frankowska, Hélène 1 Friz, Peter 1 Gajda, Janusz 1 Gao, Niushan 1 Genadot, Alexandre 1 Geoffroy, Michel H. 1 Gerrard, Russell 1 Gnann, Manuel V. 1 Gunzburger, Max Donald 1 Gyöngy, István 1 Hadd, Said 1 Hernández-Santibáñez, Nicolás 1 Hitaj, Asmerilda 1 Hu, Jiuyun 1 Hu, Yaohua 1 Ivasiuk, Dmytro 1 Jaber, Eduardo Abi 1 Källblad, Sigrid 1 Kawasaki, Shuji 1 Kazi-Tani, Nabil 1 Khomchenko, Andrew A. 1 Klose, Tom 1 Koch Medina, Pablo 1 Kusuoka, Seiichiro Kusuoka 1 Kyriakou, Ioannis 1 Lahbiri, Fatima Zahra 1 Landriault, David 1 Larrouy, James 1 Lee, Hyung-Chun 1 Li, Bin 1 Li, Danping 1 Li, Jiawen 1 Li, Lei 1 Li, Xiaobing 1 Liu, Bin 1 Mackay, Anne 1 Malik, Muslim 1 Manna, Utpal 1 Mao, Tiantian 1 Marazzina, Daniele 1 Marchini, Elsa Maria 1 Maslowski, Bohdan ...and 51 more Authors all top 5 Cited in 58 Serials 5 Journal of Mathematical Analysis and Applications 4 Annals of Operations Research 4 NoDEA. Nonlinear Differential Equations and Applications 3 SIAM Journal on Control and Optimization 3 Insurance Mathematics & Economics 3 European Journal of Operational Research 3 Stochastic Processes and their Applications 2 Mathematical Methods in the Applied Sciences 2 Applied Mathematics and Optimization 2 Journal of Mathematical Economics 2 The Annals of Applied Probability 2 Potential Analysis 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Journal of Dynamical and Control Systems 2 Decisions in Economics and Finance 2 Stochastics and Dynamics 2 Computational Management Science 2 Journal of Industrial and Management Optimization 2 Mathematics and Financial Economics 2 SIAM Journal on Financial Mathematics 2 Stochastic and Partial Differential Equations. Analysis and Computations 2 Evolution Equations and Control Theory 2 Probability, Uncertainty and Quantitative Risk 1 Computers & Mathematics with Applications 1 Communications in Mathematical Physics 1 International Journal of Control 1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) 1 Journal of Statistical Physics 1 Mathematics of Computation 1 The Annals of Probability 1 BIT 1 Journal of Differential Equations 1 Journal of Functional Analysis 1 Mathematics of Operations Research 1 Numerical Functional Analysis and Optimization 1 Operations Research 1 Tôhoku Mathematical Journal. Second Series 1 Acta Applicandae Mathematicae 1 Applied Numerical Mathematics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Asymptotic Analysis 1 Journal of Scientific Computing 1 Journal of Dynamics and Differential Equations 1 Computational Optimization and Applications 1 Turkish Journal of Mathematics 1 Electronic Journal of Probability 1 Finance and Stochastics 1 Mathematical Finance 1 Honam Mathematical Journal 1 Infinite Dimensional Analysis, Quantum Probability and Related Topics 1 Chaos 1 Fractional Calculus & Applied Analysis 1 Methodology and Computing in Applied Probability 1 Journal of Evolution Equations 1 Quantitative Finance 1 Mathematical Control and Related Fields 1 Dependence Modeling 1 Frontiers of Mathematical Finance all top 5 Cited in 23 Fields 52 Probability theory and stochastic processes (60-XX) 32 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Systems theory; control (93-XX) 20 Calculus of variations and optimal control; optimization (49-XX) 15 Partial differential equations (35-XX) 13 Integral equations (45-XX) 11 Numerical analysis (65-XX) 10 Operations research, mathematical programming (90-XX) 6 Ordinary differential equations (34-XX) 6 Functional analysis (46-XX) 6 Biology and other natural sciences (92-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Operator theory (47-XX) 3 Statistics (62-XX) 3 Fluid mechanics (76-XX) 3 Quantum theory (81-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Computer science (68-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Real functions (26-XX) 1 Potential theory (31-XX) 1 Approximations and expansions (41-XX) 1 General topology (54-XX) Citations by Year