37 citations · 100 across the 22 of their papers we have counts for
25 papers
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…
Stochastic maximum principle for equations with delay: going to infinite dimensions to solve the non-convex case
Giuseppina Guatteri, Federica Masiero
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equation with delay in the state and with c…
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…
A BSDEs approach to pathwise uniqueness for stochastic evolution equations
Davide Addona, Federica Masiero, Enrico Priola
We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Holder continuous. This class includes examples of semilinea…
Partial smoothing of delay transition semigroups acting on special functions
Federica Masiero, Gianmario Tessitore
It is well known that the transition semigroup of an Ornstein Uhlenbeck process with delay is not strong Feller for small times, so it has no regularizing effects when acting on bo…
Stochastic Control Problems with Unbounded Control Operators: solutions through generalized derivatives
Federica Masiero, Fausto Gozzi
This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with d…
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…
Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
Federica Masiero, Carlo Orrieri, Gianmario Tessitore +1
We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifti…
A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
Davide Addona, Elena Bandini, Federica Masiero
We consider a Backward Stochastic Differential Equation (BSDE for short) in a Markovian framework for the pair of processes , with generator with quadratic growth with respe…
Stochastic maximum principle for equations with delay: the non-convex case
Giuseppina Guatteri, Federica Masiero
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state…
Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks
F. Gozzi, F. Masiero
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficien…
Stochastic Optimal Control with Delay in the Control I: solving the HJB equation through partial smoothing
F. Gozzi, F. Masiero
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the s…
Correction to "Well-posedness of semilinear stochastic wave equations with Hölder continuous coefficients''
Federica Masiero, Enrico Priola
We prove that semilinear stochastic abstract wave equations, including wave and plate equations, are well-posed in the strong sense with an -Hölder continuous drift coefficient,…
Stochastic maximum principle for SPDEs with delay
Giuseppina Guatteri, Federica Masiero, Carlo Orrieri
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional ev…
Stochastic Optimal Control with Delay in the Control: solution through partial smoothing
Fausto Gozzi, Federica Masiero
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the s…
HJB equations in infinite dimensions under weak regularizing properties
Federica Masiero
We solve in mild sense Hamilton Jacobi Bellman equations, both in an infinite dimensional Hilbert space and in a Banach space, with lipschitz Hamiltonian and lipschitz continuous f…
A Bismut Elworthy formula for quadratic BSDEs
Federica Masiero
We consider a backward stochastic differential equation in a Markovian framework for the pair of processes , with generator with quadratic growth with respect to . Under…
HJB equations in infinite dimension with locally Lipschitz Hamiltonian and unbounded terminal condition
Federica Masiero, Adrien Richou
We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to th…
A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition
Federica Masiero, Adrien Richou
In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condit…
On the existence of optimal controls for SPDEs with boundary-noise and boundary-control
Giuseppina Guatteri, Federica Masiero
We consider a stochastic optimal control problem for an heat equation with boundary noise and boundary controls. Under suitable assumptions on the coefficients, we prove existence…
Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian
Federica Masiero
We consider Hamilton Jacobi Bellman equations in an inifinite dimensional Hilbert space, with quadratic (respectively superquadratic) hamiltonian and with continuous (respectively…
A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control
Federica Masiero
We consider a controlled state equation of parabolic type on the halfline with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the c…
Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
Marco Fuhrman, Federica Masiero, Gianmario Tessitore
We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process with values…
Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic and Stationary Coefficients
Giuseppina Guatteri, Federica Masiero
We study ergodic quadratic optimal stochastic control problems for an affine state equation with state and control dependent noise and with stochastic coefficients. We assume stati…