3 papers
math.OC2022
HJB equations and stochastic control on half-spaces of Hilbert spaces
Alessandro Calvia, Gianluca Cappa, Fausto Gozzi +1
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we…
q-fin.RM2019
Risk measures and progressive enlargement of filtration: a BSDE approach
Alessandro Calvia, Emanuela Rosazza Gianin
We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a s…
math.OC2018
Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
Alessandro Calvia
We consider an infinite horizon optimal control problem for a pure jump Markov process , taking values in a complete and separable metric space , with noise-free partial obse…