papers
Publications (20)
math.PR2017
Ergodicity of robust switching control and nonlinear system of quasi variational inequalities
Erhan Bayraktar, Andrea Cosso, Huyên Pham
math.PR2016
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
math.PR2014
Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity
Sébastien Choukroun, Andrea Cosso
math.PR2014
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Andrea Cosso, Cristina Di Girolami, Francesco Russo
math.PR2012
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
Andrea Cosso
math.PR2018
Ergodic Control of Infinite Dimensional SDEs with Degenerate Noise
Andrea Cosso, Giuseppina Guatteri, Gianmario Tessitore
math.PR2016
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
Erhan Bayraktar, Andrea Cosso, Huyên Pham
math.PR2018
BSDE Representation and Randomized Dynamic Programming Principle for Stochastic Control Problems of Infinite-Dimensional Jump-Diffusions
Elena Bandini, Fulvia Confortola, Andrea Cosso
math.PR2018
Zero-sum stochastic differential games of generalized McKean-Vlasov type *
Huyen Pham, Andrea Cosso
math.PR2015
Functional it{ô} versus banach space stochastic calculus and strict solutions of semilinear path-dependent equations
Andrea Cosso, Francesco Russo
math.PR2014
A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs
Andrea Cosso, Francesco Russo
q-fin.PM2017
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
math.PR2019
Strong-viscosity Solutions: Semilinear Parabolic PDEs and Path-dependent PDEs
Andrea Cosso, Francesco Russo
math.PR2016
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
math.PR2013
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Sébastien Choukroun, Andrea Cosso, Huyen Pham
math.PR2016
Robust feedback switching control: dynamic programming and viscosity solutions
Erhan Bayraktar, Andrea Cosso, Huyen Pham
math.PR2017
Path-dependent equations and viscosity solutions in infinite dimension
Andrea Cosso, Salvatore Federico, Fausto Gozzi +2
math.PR2014
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
Andrea Cosso, Marco Fuhrman, Huyen Pham
math.PR2013
Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Equations
Andrea Cosso
math.PR2017
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Andrea Cosso, Huyên Pham, Hao Xing