COSSO, ANDREA
COSSO, ANDREA
Equilibrium price in intraday electricity markets
In corso di stampa Aïd, René; Cosso, Andrea; Pham, Huyên
Crandall–Lions viscosity solutions for path-dependent PDEs: The case of heat equation
2021 Cosso A.; Russo F.
The value of informational arbitrage
2020 Chau H.N.; Cosso A.; Fontana C.
Backward SDEs and infinite horizon stochastic optimal control
2019 Confortola, Fulvia; Cosso, Andrea; Fuhrman, Marco
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
2019 Bandini, Elena; Confortola, Fulvia; Cosso, Andrea
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
2019 Cosso A.; Guatteri G.; Tessitore G.
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
2019 Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
Strong-viscosity solutions: Classical and path-dependent pdes
2019 Cosso A.; Russo F.
Zero-sum stochastic differential games of generalized McKean–Vlasov type
2019 Cosso, Andrea; Pham, Huyên
Backward sdes for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
2018 Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
Path-dependent equations and viscosity solutions in infinite dimension
2018 Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
2018 Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
BSDEs with diffusion constraint and viscous Hamilton–Jacobi equations with unbounded data
2017 Cosso, Andrea; Pham, Huyên; Xing, Hao
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities
2017 Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
2017 Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii
Backward SDE representation for stochastic control problems with nondominated controlled intensity
2016 Choukroun, Sébastien; Cosso, Andrea
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
2016 Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco
Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
2016 Cosso, Andrea; Russo, Francesco
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
2016 Cosso, Andrea; Russo, Francesco
Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach
2016 Cosso, Andrea; Fuhrman, Marco; Pham, Huyên