4 papers · 1 filter
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…
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 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…