2 papers
math.PR2026
A Bismut-Elworthy formula for BSDEs with degenerate noise
Davide Addona, Federica Masiero
In this paper we derive a Bismut-Elworthy formula under assumptions weaker than the non degeneracy of the noise. By Bismut-Elworthy formula we mean a gradient type estimate on the…
math.OC2025
Lifting partial smoothing to solve HJB equations and stochastic control problems
Fausto Gozzi, Federica Masiero
We study a family of stochastic control problems arising in typical applications (such as boundary control and control of delay equations with delay in the control) with the ultima…