100 citations · 182 across the 16 of their papers we have counts for
18 papers
Partially observed controlled Markov chains and optimal control of the Wonham filter
Fulvia Confortola, Marco Fuhrman
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affe…
Markovian lifting and optimal control for integral stochastic Volterra equations with completely monotone kernels
Stefano Bonaccorsi, Fulvia Confortola
In this paper, we focus on solving the optimal control problem for integral stochastic Volterra equations in a finite dimensional setting. In our setting, the noise term is driven…
Progressively Enlargement of Filtrations and Control Problems for Step Processes
Elena Bandini, Fulvia Confortola, Paolo Di Tella
In the present paper we address stochastic optimal control problems for a step process under a progressive enlargement of the filtration. The global information is…
BSDE Representation and Randomized Dynamic Programming Principle for Stochastic Control Problems of Infinite-Dimensional Jump-Diffusions
Elena Bandini, Fulvia Confortola, Andrea Cosso
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion a…
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…
solution of backward stochastic differential equations driven by a marked point process
Fulvia Confortola
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded int…