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20122026
most citedOptimal investment with intermediate consumption under no unbounded profit with bounded risk

32 citations · 104 across the 30 of their papers we have counts for

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Showing 2016Show all

2 papers · 1 filter

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…