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Showing 2012 · math.PRShow all
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math.PR2012★ 5 cited
Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control
Giorgio Fabbri, Francesco Russo
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of "weak Di…
math.PR2012★ 18 cited
GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization
Claudia Ceci, Alessandra Cretarola, Francesco Russo
In this paper we provide Galtchouk-Kunita-Watanabe representation results in the case where there are restrictions on the available information. This allows to prove existence and…