47 citations · 64 across the 15 of their papers we have counts for
19 papers
Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
Marco Fuhrman, Marie-Amélie Morlais
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the f…
Backward SDEs and infinite horizon stochastic optimal control
F. Confortola, A. Cosso, M. Fuhrman
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equati…
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…
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic prog…
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the contr…
Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift
Marco Fuhrman, Carlo Orrieri
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by a…