7 citations · 8 across the 6 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
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…