7 papers
Stochastic Optimal Control with Measurable Coefficients and Applications
Filippo de Feo
Stochastic optimal control control problems with merely measurable coefficients are not well understood. In this manuscript, we consider fully non-linear stochastic optimal control…
Deep Hilbert--Galerkin Methods for Infinite-Dimensional PDEs and Optimal Control
Samuel N. Cohen, Filippo de Feo, Jackson Hebner +1
We develop deep learning-based approximation methods for fully nonlinear second-order PDEs on separable Hilbert spaces, such as HJB equations for infinite-dimensional control, by p…
Duality methods in stochastic optimal control
Peter Bank, Filippo de Feo
We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by…
Optimal control of stochastic Volterra integral equations with completely monotone kernels and stochastic differential equations on Hilbert spaces with unbounded control and diffusion operators
Gabriele Bolli, Filippo de Feo
The dynamic programming approach is one of the most powerful ones in optimal control. However, when dealing with optimal control problems of stochastic Volterra integral equations…
Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
Anna de Crescenzo, Filippo de Feo, Huyên Pham
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly c…
Optimal Control of Heterogeneous Mean-Field Stochastic Differential Equations with Common Noise and Applications
Filippo de Feo, Samy Mekkaoui
We initiate the study of optimal control problems of heterogeneous mean-field stochastic differential equations with common noise. We formulate the problem within a linear-quadrati…