2 papers
math.OC2025
Verification theorem related to a zero sum stochastic differential game, based on a chain rule for non-smooth functions
Carlo Ciccarella, Francesco Russo
In the framework of stochastic zero-sum differential games, we establish a verification theorem, inspired by those existing in stochastic control, to provide sufficient conditions…
math.PR2025
-It{ô} chain rules and generalized solutions of parabolic PDEs
Carlo Ciccarella, Francesco Russo
In this paper we first establish an Itô formula for a finite quadratic variation process expanding when is of class in space and is absolutely continuous…