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math.OC2025
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…
math.OC2025
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…
math.OC2017★ 1 cited
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…