7 papers
Weak energy shaping for stochastic controlled port-Hamiltonian systems
Francesco G. Cordoni, Luca Di Persio, Riccardo Muradore
The present work address the problem of energy shaping for stochastic port-Hamiltonian system. Energy shaping is a powerful technique that allows to systematically find feedback la…
Optimal control of the FitzHugh-Nagumo stochastic model with nonlinear diffusion
Francesco Cordoni, Luca Di Persio
We consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusi…
A bank salvage model by impulse stochastic controls
Francesco Cordoni, Luca Di Persio, Yilun Jiang
The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a…
A lending scheme for a system of interconnected banks with probabilistic constraints of failure
Francesco Cordoni, Luca Di Persio, Luca Prezioso
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which ar…
Asymptotic expansion for some local volatility models arising in finance
Sergio ALbeverio, Francesco Cordoni, Luca Di Persio +1
In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coe…
Optimal control for the stochastic FitzHugh-Nagumo model with recovery variable
Francesco Cordoni, Luca Di Persio
In the present paper we derive the existence and uniqueness of a solution for the optimal control problem determined by a stochastic FitzHugh-Nagumo equation with recovery variable…