32 citations · 104 across the 30 of their papers we have counts for
35 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…
A new probabilistic approach for mean field games of optimal stopping
Andrea Cosso, Laura D'Andolfi, Roxana Dumitrescu
We propose a novel probabilistic formulation for optimal stopping mean field games (OS-MFGs) with randomized strategies. We characterize mean field equilibria through a new class o…
Calorimeter Shower Superresolution with Conditional Normalizing Flows: Implementation and Statistical Evaluation
Andrea Cosso
In High Energy Physics, detailed calorimeter simulations and reconstructions are essential for accurate energy measurements and particle identification, but their high granularity…
Mean convergence rates for Gaussian-smoothed Wasserstein distances and classical Wasserstein distances
Andrea Cosso, Mattia Martini, Laura Perelli
We establish upper bounds for the expected -th power of the Gaussian-smoothed -Wasserstein distance between a probability measure and the corresponding empirical measure…
Mean field optimal stopping with uncontrolled state
Andrea Cosso, Laura Perelli
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state p…
On the optimal stopping problem for diffusions and an approximation result for stopping times
Andrea Cosso, Laura Perelli
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the…
On smooth approximations in the Wasserstein space
Andrea Cosso, Mattia Martini
In this paper we investigate the approximation of continuous functions on the Wasserstein space by smooth functions, with smoothness meant in the sense of Lions differentiability.…
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
Matteo Burzoni, Alekos Cecchin, Andrea Cosso
We provide a new version of the Tikhonov theorem for both two-scale forward systems and also two-scale forward-backward systems of stochastic differential equations, which also cov…
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion p…
Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Andrea Cosso, Fausto Gozzi, Mauro Rosestolato +1
We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value functio…
Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first est…
Equilibrium price in intraday electricity markets
René Aid, Andrea Cosso, Huyên Pham
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their pr…
Crandall-Lions Viscosity Solutions for Path-Dependent PDEs: The Case of Heat Equation
Andrea Cosso, Francesco Russo
We address our interest to the development of a theory of viscosity solutions {à} la Crandall-Lions for path-dependent partial differential equations (PDEs), namely PDEs in the spa…
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…
Ergodic Control of Infinite Dimensional SDEs with Degenerate Noise
Andrea Cosso, Giuseppina Guatteri, Gianmario Tessitore
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation…
The value of informational arbitrage
Huy N. Chau, Andrea Cosso, Claudio Fontana
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside i…
Zero-sum stochastic differential games of generalized McKean-Vlasov type *
Huyen Pham, Andrea Cosso
We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equat…
Backward SDEs and infinite horizon stochastic optimal control
F. Confortola, A. Cosso, M. Fuhrman
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equati…
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…
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
Erhan Bayraktar, Andrea Cosso, Huyên Pham
We analyze a stochastic optimal control problem, where the state process follows a McKean-Vlasov dynamics and the diffusion coefficient can be degenerate. We prove that its value f…
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…
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utili…
Functional it{ô} versus banach space stochastic calculus and strict solutions of semilinear path-dependent equations
Andrea Cosso, Francesco Russo
Functional Itô calculus was introduced in order to expand a functional depending on time , past and present values of the process . Another possibi…
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Andrea Cosso, Huyên Pham, Hao Xing
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a t…