COSSO, ANDREA
COSSO, ANDREA
Dipartimento di Matematica Federigo Enriques
A Tikhonov Theorem for McKean–Vlasov Two-Scale Systems and a New Application to Mean Field Optimal Control Problems
2024 M. Burzoni, A. Cecchin, A. Cosso
MASTER BELLMAN EQUATION IN THE WASSERSTEIN SPACE: UNIQUENESS OF VISCOSITY SOLUTIONS
2024 A. Cosso, F. Gozzi, I. Kharroubi, H. Pham, M. Rosestolato
On smooth approximations in the Wasserstein space
2023 A. Cosso, M. Martini
OPTIMAL CONTROL OF PATH-DEPENDENT MCKEAN–VLASOV SDES IN INFINITE-DIMENSION
2023 A. Cosso, F. Gozzi, I. Kharroubi, H. Pham, M. Rosestolato
Crandall–Lions viscosity solutions for path-dependent PDEs: The case of heat equation
2022 A. Cosso, F. Russo
Equilibrium price in intraday electricity markets
2022 R. Aïd, A. Cosso, H. Pham
The value of informational arbitrage
2020 H.N. Chau, A. Cosso, C. Fontana
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
2019 E. Bandini, F. Confortola, A. Cosso
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
2019 A. Cosso, G. Guatteri, G. Tessitore
Zero-sum stochastic differential games of generalized McKean–Vlasov type
2019 A. Cosso, H. Pham
Backward SDEs and infinite horizon stochastic optimal control
2019 F. Confortola, A. Cosso, M. Fuhrman
Strong-viscosity solutions : classical and path-dependent PDEs
2019 A. Cosso, F. Russo
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
2019 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
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
BSDEs with diffusion constraint and viscous Hamilton–Jacobi equations with unbounded data
2017 A. Cosso, H. Pham, H. Xing
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
2017 H.N. Chau, A. Cosso, C. Fontana, O. Mostovyi
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities
2017 E. Bayraktar, A. Cosso, H. Pham
Backward SDE representation for stochastic control problems with nondominated controlled intensity
2016 S. Choukroun, A. Cosso