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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.PR2024
Stochastic maximum principle for problems with delay with general dependence on the past
Giuseppina Guatteri, Federica Masiero
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depen…