32 citations · 104 across the 30 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…