32 citations · 104 across the 30 of their papers we have counts for
5 papers · 1 filter
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Andrea Cosso, Cristina Di Girolami, Francesco Russo
The paper reminds the basic ideas of stochastic calculus via regularizations in Banach spaces and its applications to the study of strict solutions of Kolmogorov path dependent equ…
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
Andrea Cosso, Marco Fuhrman, Huyen Pham
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control bot…
Robust feedback switching control: dynamic programming and viscosity solutions
Erhan Bayraktar, Andrea Cosso, Huyen Pham
We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non st…
Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity
Sébastien Choukroun, Andrea Cosso
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility an…
A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs
Andrea Cosso, Francesco Russo
First, we revisit functional Itô/path-dependent calculus started by B. Dupire, R. Cont and D.-A. Fournié, using the formulation of calculus via regularization. Relations with the c…