Sfoglia per Autore
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
2013 A. Cosso
American option valuation in a stochastic volatility model with transaction costs
2015 A. Cosso, D. Marazzina, C. Sgarra
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
2015 S. Choukroun, A. Cosso, H. Pham
Portfolio choices and VaR constraint with a defaultable asset
2015 E. Barucci, A. Cosso
Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
2016 A. Cosso, F. Russo
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
2016 A. Cosso, C. Di Girolami, F. Russo
Robust feedback switching control : dynamic programming and viscosity solutions
2016 E. Bayraktar, A. Cosso, H. Pham
Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach
2016 A. Cosso, M. Fuhrman, H. Pham
Backward SDE representation for stochastic control problems with nondominated controlled intensity
2016 S. Choukroun, A. Cosso
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
2016 A. Cosso, F. Russo
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities
2017 E. Bayraktar, A. Cosso, H. Pham
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
2017 H.N. Chau, A. Cosso, C. Fontana, O. Mostovyi
BSDEs with diffusion constraint and viscous Hamilton–Jacobi equations with unbounded data
2017 A. Cosso, H. Pham, H. Xing
Backward SDEs for optimal control of partially observed path-dependent stochastic systems : A control randomization approach
2018 E. Bandini, A. Cosso, M. Fuhrman, H. Pham
Path-dependent equations and viscosity solutions in infinite dimension
2018 A. Cosso, S. Federico, F. Gozzi, M. Rosestolato, N. Touzi
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
2018 E. Bayraktar, A. Cosso, H. Pham
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
2019 A. Cosso, G. Guatteri, G. Tessitore
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
2019 E. Bandini, F. Confortola, A. Cosso
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
2019 E. Bandini, A. Cosso, M. Fuhrman, H. Pham
Strong-viscosity solutions : classical and path-dependent PDEs
2019 A. Cosso, F. Russo
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