32 citations · 104 across the 30 of their papers we have counts for
Showing 2016 · math.PRShow all
2 papers · 2 filters
math.PR2016
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…
math.PR2016★ 2 cited
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…