6 papers
Mild Solutions for Path-Dependent Parabolic PDEs with Neumann Boundary Conditions via Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Adrian Zalinescu
We study a system of Forward-Backward Stochastic Differential Equations (FBSDEs) with time-delayed generators. The forward process includes a reflection component expressed via a S…
Data-Driven Stochastic VRP: Integration of Forecast Duration into Optimization for Utility Workforce Management
Matteo Garbelli
This paper investigates the integration of machine learning forecasts of intervention durations into a stochastic variant of the Capacitated Vehicle Routing Problem with Time Windo…
Reinforcement Learning for Bidding Strategy Optimization in Day-Ahead Energy Market
Luca Di Persio, Matteo Garbelli, Luca M. Giordano
In a day-ahead market, energy buyers and sellers submit their bids for a particular future time, including the amount of energy they wish to buy or sell and the price they are prep…
Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
Luca Di Persio, Matteo Garbelli, Adrian Zălinescu
We consider a system of Forward Backward Stochastic Differential Equations (FBSDEs), with time delayed generator and driven by Lèvy-type noise. We establish a non linear Feynman Ka…
The Master Equation in a Bounded Domain with Absorption
Luca Di Persio, Matteo Garbelli, Michele Ricciardi
We analyze the Master Equation within Mean Field Games (MFG) theory considering a bounded domain with homogeneous Dirichlet conditions. Concerning the N-players differential game,…
Time-Delayed Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Lucian Maticiuc +1
We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs th…