8 citations · 16 across the 15 of their papers we have counts for
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math.OC2016
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…
math.PR2016
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…