3 papers
math.PR2025
Peng's Maximum Principle for Stochastic Delay Differential Equations of Mean-Field Type
Giuseppina Guatteri, Federica Masiero, Lukas Wessels
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the…
math.OC2024
On approximations of stochastic optimal control problems with an application to climate equations
Franco Flandoli, Giuseppina Guatteri, Umberto Pappalettera +1
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principl…
math.OC2024
Stochastic Maximum Principle for optimal advertising models with delay and non-convex control space
Giuseppina Guatteri, Federica Masiero
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with…