9 citations · 11 across the 8 of their papers we have counts for
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Duality for Stochastic Control with non-Markovian Random Coefficients
Peter Bank, Jannis R. Dause, Filippo de Feo +1
We develop novel duality methods for stochastic optimal control problems under two sources of randomness and non-Markovian random coefficients adapted to just one of them. The Hami…
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…
Stochastic Optimal Control with Measurable Coefficients and Applications
Filippo de Feo
We consider fully non-linear stochastic optimal control problems with measurable coefficients and (local) uniformly elliptic diffusion. Using the theory of -viscosity solution…
Stochastic optimal control in Hilbert spaces: regularity of the value function and optimal synthesis via viscosity solutions
Filippo de Feo, Andrzej Święch, Lukas Wessels
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Li…
Optimal control of stochastic delay differential equations: Optimal feedback controls
Filippo de Feo, Andrzej Święch
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions o…
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
Filippo de Feo
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian re…
Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models
Filippo de Feo, Salvatore Federico, Andrzej Święch
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert…