4 citations · 8 across the 19 of their papers we have counts for
10 papers · 1 filter
On approximations of stochastic optimal control problems with an application to climate equations
Franco Flandoli, Giuseppina Guatteri, Umberto Pappalettera +1
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principl…
Singular Limit of Two Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization
Giuseppina Guatteri, Gianmario Tessitore
In this paper we study the limit of the value function for a two-scale, infinite-dimensional, stochastic controlled system with cylindrical noise and possibly degenerate diffusion.…
Multiscale Linear-Quadratic Stochastic Optimal Control With Multiplicative Noise
Beniamin Goldys, Gianmario Tessitore, James Yang +1
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian no…
Ergodic BSDEs with Multiplicative and Degenerate Noise
G. Guatteri, G. Tessitore
In this paper we study an Ergodic Markovian BSDE involving a forward process that solves an infinite dimensional forward stochastic evolution equation with multiplicative and p…
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…
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…