47 citations · 64 across the 15 of their papers we have counts for
14 papers · 1 filter
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…
Non-Markovian optimal stopping problems and constrained BSDEs with jump
Marco Fuhrman, Huyên Pham, Federica Zeni
We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value process can be represented by means of a backward stochastic differential equation (…
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Elena Bandini, Marco Fuhrman
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control…
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
Andrea Cosso, Marco Fuhrman, Huyen Pham
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control bot…
Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise
Marco Fuhrman, Ying Hu, Gianmario Tessitore
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of c…
Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control
Fulvia Confortola, Marco Fuhrman, Jean Jacod
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump…
Dual and backward SDE representation for optimal control of non-Markovian SDEs
Marco Fuhrman, Huyên Pham
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-depend…
Backward stochastic differential equations associated to jump Markov processes and applications
Fulvia Confortola, Marco Fuhrman
In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general sta…
Backward stochastic differential equations and optimal control of marked point processes
Fulvia Confortola, Marco Fuhrman
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prov…
Filtering of continuous-time Markov chains with noise-free observation and applications
Fulvia Confortola, Marco Fuhrman
Let X be a continuous-time Markov chain in a finite set I, let h be a mapping of I onto another set, and let Y be defined by Y_t=h(X_t), (for t nonnegative). We address the filteri…
Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
Marco Fuhrman, Federica Masiero, Gianmario Tessitore
We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process with values…
Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
Marco Fuhrman, Ying Hu, Gianmario Tessitore
In this paper we introduce a new kind of Backward Stochastic Differential Equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study t…