activity
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

collaborators
Showing 2021Show all

2 papers · 1 filter

math.AP2021

Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions

Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2

We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion p…

math.PR2021★ 5 cited

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

Andrea Cosso, Fausto Gozzi, Mauro Rosestolato +1

We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value functio…