FUHRMAN, MARCO ALESSANDRO
FUHRMAN, MARCO ALESSANDRO
Dipartimento di Matematica Federigo Enriques
Geometry and Invariance in Stochastic Dynamics
2021 S. Ugolini, M. Fuhrman, E. Mastrogiacomo, P. Morando, B. Ruediger
Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs
2020 M. Fuhrman, M. Morlais
Backward SDEs and infinite horizon stochastic optimal control
2019 F. Confortola, A. Cosso, M. Fuhrman
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
2019 E. Bandini, A. Cosso, M. Fuhrman, 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
Stochastic maximum principle for optimal control of partial differential equations driven by white noise
2018 M. Fuhrman, H. Ying, T. Gianmario
Linear-quadratic optimal control under non-Markovian switching
2018 F. Confortola, M. Fuhrman, G. Guatteri, G. Tessitore
Reflected BSDEs, optimal control and stopping for infinite-dimensional systems
2017 M. Fuhrman, F. Masiero, G. Tessitore
HJB Equations Through Backward Stochastic Differential Equations
2017 M. Fuhrman, T. Gianmario
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
2017 E. Bandini, M. Fuhrman
Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control
2016 F. Confortola, M. Fuhrman, J. Jacod
Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach
2016 A. Cosso, M. Fuhrman, H. Pham
Stochastic maximum principle for optimal control of a class of nonlinear spdes with dissipative drift
2016 M. Fuhrman, C. Orrieri
Representation of non-markovian optimal stopping problems by constrained BSDEs with a single jump
2016 M. Fuhrman, H. Pham, F. Zeni
Randomized and backward SDE representation for optimal control of non-Markovian SDEs
2015 M. Fuhrman, H. Pham
Backward stochastic differential equations associated to jump Markov processes and applications
2014 F. Confortola, M. Fuhrman
Backward stochastic differential equations and optimal control of marked point processes
2013 F. Confortola, M. Fuhrman
Filtering of continuous-time Markov chains with noise-free observation and applications
2013 F. Confortola, M. Fuhrman
Stochastic maximum principle for optimal control of SPDEs
2013 M. Fuhrman, Y. Hu, G. Tessitore
Stochastic maximum principle for optimal control of SPDEs
2012 M. Fuhrman, Y. Hu, G. Tessitore