3 citations · 4 across the 5 of their papers we have counts for
5 papers
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic prog…
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Andrea Cosso, Cristina Di Girolami, Francesco Russo
The paper reminds the basic ideas of stochastic calculus via regularizations in Banach spaces and its applications to the study of strict solutions of Kolmogorov path dependent equ…
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
Andrea Cosso, Marco Fuhrman, Huyen Pham
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control bot…
Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity
Sébastien Choukroun, Andrea Cosso
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility an…
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
Andrea Cosso
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial…