7 citations · 12 across the 16 of their papers we have counts for
20 papers
Continuous-Time q-Learning with Nonsmooth Value Functions: a BSDE Approach
Manuel Asero, Elena Bandini, Andrea Cosso +1
We study continuous-time q-learning for entropy-regularized diffusion control without assuming classical differentiability of the value function. Rewards and admissible policies ne…
Characteristics and It{ô}'s formula for weak Dirichlet processes: an equivalence result
Elena Bandini, Francesco Russo
The main objective consists in generalizing a well-known It{ô} formula of J. Jacod and A. Shiryaev: given a c{à}dl{à}g process S, there is an equivalence between the fact that S is…
Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties
Elena Bandini, Francesco Russo
We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniq…
Weak Dirichlet processes and generalized martingale problems
Elena Bandini, Francesco Russo
In this paper we explain how the notion of ''weak Dirichlet process'' is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique…
Progressively Enlargement of Filtrations and Control Problems for Step Processes
Elena Bandini, Fulvia Confortola, Paolo Di Tella
In the present paper we address stochastic optimal control problems for a step process under a progressive enlargement of the filtration. The global information is…
Optimal Dividend Payout under Stochastic Discounting
Elena Bandini, Tiziano De Angelis, Giorgio Ferrari +1
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flo…
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Elena Bandini, Alessandro Calvia, Katia Colaneri
The objective of this paper is to study the filtering problem for a system of partially observable processes , where is a non-Markovian pure-jump process representing t…
The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures
Elena Bandini, Francesco Russo
In this paper we focus on the so called identification problem for a backward SDE driven by a continuous local martingale and a possibly non quasi-left-continuous random measure. S…
Optimal control of infinite-dimensional Piecewise Deterministic Markov Processes: a BSDE approach. Application to the control of an excitable cell membrane
Elena Bandini, Michele Thieullen
In this paper we consider the optimal control of Hilbert space-valued infinite-dimensional Piecewise Deterministic Markov Processes (PDMP) and we prove that the corresponding value…
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…
BSDE Representation and Randomized Dynamic Programming Principle for Stochastic Control Problems of Infinite-Dimensional Jump-Diffusions
Elena Bandini, Fulvia Confortola, Andrea Cosso
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion a…
Constrained BSDEs driven by a non quasi-left-continuous random measure and optimal control of PDMPs on bounded domains
Elena Bandini
We consider an optimal control problem for piecewise deterministic Markov processes (PDMPs) on a bounded state space. The control problem under study is very general: a pair of con…
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…
Optimal control of Piecewise Deterministic Markov Processes: a BSDE representation of the value function
Elena Bandini
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump d…
Weak Dirichlet processes with jumps
Elena Bandini, Francesco Russo
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dir…
Special weak Dirichlet processes and BSDEs driven by a random measure
Elena Bandini, Francesco Russo
This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is special semimartingale, or even more generally, a special weak Dirichlet pr…
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the contr…
Existence and uniqueness for backward stochastic differential equations driven by a random measure
Elena Bandini
We study the following backward stochastic differential equation on finite time horizon driven by an integer-valued random measure on , where is a Lusi…
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Elena Bandini, Marco Fuhrman
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control…
Optimal control of semi-Markov processes with a backward stochastic differential equations approach
Elena Bandini, Fulvia Confortola
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with…