8 citations · 16 across the 15 of their papers we have counts for
3 papers · 1 filter
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…