8 citations · 16 across the 15 of their papers we have counts for
18 papers
Peng's Maximum Principle for Stochastic Delay Differential Equations of Mean-Field Type
Giuseppina Guatteri, Federica Masiero, Lukas Wessels
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the…
On approximations of stochastic optimal control problems with an application to climate equations
Franco Flandoli, Giuseppina Guatteri, Umberto Pappalettera +1
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principl…
Stochastic Maximum Principle for optimal advertising models with delay and non-convex control space
Giuseppina Guatteri, Federica Masiero
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with…
Stochastic maximum principle for equations with delay: going to infinite dimensions to solve the non-convex case
Giuseppina Guatteri, Federica Masiero
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equation with delay in the state and with c…
Nonlinear random perturbations of PDEs and quasi-linear equations in Hilbert spaces depending on a small parameter
Sandra Cerrai, Giuseppina Guatteri, Gianmario Tessitore
We study a class of quasi-linear parabolic equations defined on a separable Hilbert space, depending on a small parameter in front of the second order term. Through the nonlinear s…
Singular Limit of Two Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization
Giuseppina Guatteri, Gianmario Tessitore
In this paper we study the limit of the value function for a two-scale, infinite-dimensional, stochastic controlled system with cylindrical noise and possibly degenerate diffusion.…
Stochastic maximum principle for problems with delay with general dependence on the past
Giuseppina Guatteri, Federica Masiero
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depen…
Ergodic BSDEs with Multiplicative and Degenerate Noise
G. Guatteri, G. Tessitore
In this paper we study an Ergodic Markovian BSDE involving a forward process that solves an infinite dimensional forward stochastic evolution equation with multiplicative and p…
Stochastic maximum principle for equations with delay: the non-convex case
Giuseppina Guatteri, Federica Masiero
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state…
Ergodic Control of Infinite Dimensional SDEs with Degenerate Noise
Andrea Cosso, Giuseppina Guatteri, Gianmario Tessitore
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation…
Singular limit of BSDEs and Optimal control of two scale stochastic systems in infinite dimensional spaces
Giuseppina Guatteri, Gianmario Tessitore
In this paper we study by probabilistic techniques the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between th…
Singular Limit of BSDEs and Optimal Control of two Scale Stochastic Systems in Infinite Dimensional Spaces
Giuseppina Guatteri, Gianmario Tessitore
In this paper we study, by probabilistic techniques, the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between…
Linear-quadratic optimal control under non-Markovian switching
Fulvia Confortola, Marco Fuhrman, Giuseppina Guatteri +1
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit…
Stochastic maximum principle for SPDEs with delay
Giuseppina Guatteri, Federica Masiero, Carlo Orrieri
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional ev…
Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
Giuseppina Guatteri, Gianmario Tessitore
We prove existence and uniqueness of the mild solution of an infinite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of…
On the existence of optimal controls for SPDEs with boundary-noise and boundary-control
Giuseppina Guatteri, Federica Masiero
We consider a stochastic optimal control problem for an heat equation with boundary noise and boundary controls. Under suitable assumptions on the coefficients, we prove existence…
Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic and Stationary Coefficients
Giuseppina Guatteri, Federica Masiero
We study ergodic quadratic optimal stochastic control problems for an affine state equation with state and control dependent noise and with stochastic coefficients. We assume stati…
Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients
Giuseppina Guatteri, Federica Masiero
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horiz…