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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.…
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…
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…