32 citations · 104 across the 30 of their papers we have counts for
6 papers · 2 filters
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…
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…
Strong-viscosity Solutions: Semilinear Parabolic PDEs and Path-dependent PDEs
Andrea Cosso, Francesco Russo
The aim of the present work is the introduction of a viscosity type solution, called strong-viscosity solution to distinguish it from the classical one, with the following peculiar…
Path-dependent equations and viscosity solutions in infinite dimension
Andrea Cosso, Salvatore Federico, Fausto Gozzi +2
Path-dependent PDEs (PPDEs) are natural objects to study when one deals with non Markovian models. Recently, after the introduction of the so-called pathwise (or functional or Dupi…
Ergodicity of robust switching control and nonlinear system of quasi variational inequalities
Erhan Bayraktar, Andrea Cosso, Huyên Pham
We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control pr…