32 citations · 104 across the 30 of their papers we have counts for
4 papers · 1 filter
BSDE Representation and Randomized Dynamic Programming Principle for Stochastic Control Problems of Infinite-Dimensional Jump-Diffusions
Elena Bandini, Fulvia Confortola, Andrea Cosso
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion a…
Ergodic Control of Infinite Dimensional SDEs with Degenerate Noise
Andrea Cosso, Giuseppina Guatteri, Gianmario Tessitore
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation…
The value of informational arbitrage
Huy N. Chau, Andrea Cosso, Claudio Fontana
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside i…
Zero-sum stochastic differential games of generalized McKean-Vlasov type *
Huyen Pham, Andrea Cosso
We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equat…