Search Results - "COSSO, ANDREA"

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics by BAYRAKTAR, ERHAN, COSSO, ANDREA, PHAM, HUYÊN

“…We analyze a stochastic optimal control problem, where the state process follows a McKean-Vlasov dynamics and the diffusion coefficient can be degenerate. We…”
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Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach by Cosso, Andrea, Fuhrman, Marco, Pham, Huyên

“…We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton–Jacobi–Bellman type arising typically in stochastic control…”
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On smooth approximations in the Wasserstein space by Cosso, Andrea, Martini, Mattia

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PATH-DEPENDENT EQUATIONS AND VISCOSITY SOLUTIONS IN INFINITE DIMENSION by Cosso, Andrea, Federico, Salvatore, Gozzi, Fausto, Rosestolato, Mauro, Touzi, Nizar

“…Path-dependent partial differential equations (PPDEs) are natural objects to study when one deals with non-Markovian models. Recently, after the introduction…”
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BACKWARD SDES FOR OPTIMAL CONTROL OF PARTIALLY OBSERVED PATH-DEPENDENT STOCHASTIC SYSTEMS: A CONTROL RANDOMIZATION APPROACH by Bandini, Elena, Cosso, Andrea, Fuhrman, Marco, Pham, Huyên

“…We introduce a suitable backward stochastic differential equation (BSDE) to represent the value of an optimal control problem with partial observation for a…”
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Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension by Cosso, Andrea, Gozzi, Fausto, Kharroubi, Idris, Pham, Huyên, Rosestolato, Mauro

“…We study the optimal control of path-dependent McKean–Vlasov equations valued in Hilbert spaces motivated by non-Markovian mean-field models driven by…”
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BACKWARD SDE REPRESENTATION FOR STOCHASTIC CONTROL PROBLEMS WITH NONDOMINATED CONTROLLED INTENSITY by Choukroun, Sébastien, Cosso, Andrea

“…We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty…”
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Portfolio choices and VaR constraint with a defaultable asset by Barucci, Emilio, Cosso, Andrea

“…We consider a Constant Elasticity of Variance (CEV) model for the asset price of a defaultable asset showing the so-called leverage effect (high volatility…”
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Equilibrium price in intraday electricity markets by Aid, René, Cosso, Andrea, Pham, Huyên

“…We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus…”
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BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions by Bandini, Elena, Confortola, Fulvia, Cosso, Andrea

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The value of informational arbitrage by Chau, Huy N., Cosso, Andrea, Fontana, Claudio

“…In the context of a general semimartingale model, we aim at determining how much an investor is willing to pay to learn additional information that allows…”
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Optimal investment with intermediate consumption under no unbounded profit with bounded risk by Chau, Huy N., Cosso, Andrea, Fontana, Claudio, Mostovyi, Oleksii

“…We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being…”
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Reflected BSDEs with nonpositive jumps, and controller-and-stopper games by Choukroun, Sébastien, Cosso, Andrea, Pham, Huyên

“…We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal…”
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American option valuation in a stochastic volatility model with transaction costs by Cosso, Andrea, Marazzina, Daniele, Sgarra, Carlo

“…In the present paper we analyse the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall…”
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On smooth approximations in the Wasserstein space by Cosso, Andrea, Martini, Mattia

“…Electron. Commun. Probab. 28: 1-11 (2023) In this paper we investigate the approximation of continuous functions on the Wasserstein space by smooth functions,…”
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Crandall-Lions Viscosity Solutions for Path-Dependent PDEs: The Case of Heat Equation by Cosso, Andrea, Russo, Francesco

“…We address our interest to the development of a theory of viscosity solutions {\`a} la Crandall-Lions for path-dependent partial differential equations (PDEs),…”
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A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems by Burzoni, Matteo, Cecchin, Alekos, Cosso, Andrea

“…We provide a new version of the Tikhonov theorem for both two-scale forward systems and also two-scale forward-backward systems of stochastic differential…”
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Zero-sum stochastic differential games of generalized McKean-Vlasov type by Pham, Huyen, Cosso, Andrea

“…We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field)…”
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Equilibrium price in intraday electricity markets by Aid, René, Cosso, Andrea, Pham, Huyên

“…We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus…”
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Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions by Cosso, Andrea, Gozzi, Fausto, Kharroubi, Idris, Pham, Huyên, Rosestolato, Mauro

“…We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for…”
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