COSSO, ANDREA
COSSO, ANDREA
Dipartimento di Matematica Federigo Enriques
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Risultati 1 - 15 di 15 (tempo di esecuzione: 0.024 secondi).
American option valuation in a stochastic volatility model with transaction costs
2015 A. Cosso, D. Marazzina, C. Sgarra
Backward SDEs and infinite horizon stochastic optimal control
2019 F. Confortola, A. Cosso, M. Fuhrman
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
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
2019 E. Bandini, F. Confortola, A. Cosso
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
2016 A. Cosso, C. Di Girolami, F. Russo
Equilibrium price in intraday electricity markets
2022 R. Aïd, A. Cosso, H. Pham
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities
2017 E. Bayraktar, A. Cosso, H. Pham
Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
2016 A. Cosso, F. Russo
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
2016 A. Cosso, F. Russo
Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach
2016 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 filtering and Bellman equation in Wasserstein space for partial observation control problem
2019 E. Bandini, A. Cosso, M. Fuhrman, H. Pham
Robust feedback switching control : dynamic programming and viscosity solutions
2016 E. Bayraktar, A. Cosso, H. Pham
Strong-viscosity solutions : classical and path-dependent PDEs
2019 A. Cosso, F. Russo
The value of informational arbitrage
2020 H.N. Chau, A. Cosso, C. Fontana