COSSO, ANDREA

COSSO, ANDREA  

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Titolo Autore(i) Anno Periodico Editore Tipo File
American option valuation in a stochastic volatility model with transaction costs Cosso, Andrea; Marazzina, Daniele; Sgarra, Carlo 2015-01-01 STOCHASTICS - 1.01 Articolo in rivista -
Backward SDE representation for stochastic control problems with nondominated controlled intensity Choukroun, Sébastien; Cosso, Andrea 2016-01-01 THE ANNALS OF APPLIED PROBABILITY - 1.01 Articolo in rivista -
Backward SDEs and infinite horizon stochastic optimal control Confortola, Fulvia; Cosso, Andrea; Fuhrman, Marco 2019-01-01 ESAIM. COCV - 1.01 Articolo in rivista -
Backward sdes for optimal control of partially observed path-dependent stochastic systems: A control randomization approach Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên 2018-01-01 THE ANNALS OF APPLIED PROBABILITY - 1.01 Articolo in rivista Bandini, Cosso, Fuhrman, Pham - AAP1340.pdf
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions Bandini, Elena; Confortola, Fulvia; Cosso, Andrea 2019-01-01 ELECTRONIC JOURNAL OF PROBABILITY - 1.01 Articolo in rivista -
BSDEs with diffusion constraint and viscous Hamilton–Jacobi equations with unbounded data Cosso, Andrea; Pham, Huyên; Xing, Hao 2017-01-01 ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES - 1.01 Articolo in rivista -
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco 2016-01-01 CONTEMPORARY MATHEMATICS American Mathematical Society 2.01 Capitolo / saggio in libro -
Crandall–Lions viscosity solutions for path-dependent PDEs: The case of heat equation Cosso A.; Russo F. 2021-01-01 BERNOULLI - 1.01 Articolo in rivista -
Equilibrium price in intraday electricity markets Aïd, René; Cosso, Andrea; Pham, Huyên 9999-01-01 MATHEMATICAL FINANCE - 1.01 Articolo in rivista -
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise Cosso A.; Guatteri G.; Tessitore G. 2019-01-01 ESAIM. COCV - 1.01 Articolo in rivista -
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 2017-01-01 SIAM JOURNAL ON CONTROL AND OPTIMIZATION - 1.01 Articolo in rivista -
Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion Cosso, Andrea; Russo, Francesco 2016-01-01 - Springer 4.01 Contributo in Atti di convegno -
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations Cosso, Andrea; Russo, Francesco 2016-01-01 INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS - 1.01 Articolo in rivista -
Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach Cosso, Andrea; Fuhrman, Marco; Pham, Huyên 2016-01-01 STOCHASTIC PROCESSES AND THEIR APPLICATIONS - 1.01 Articolo in rivista -
Optimal investment with intermediate consumption under no unbounded profit with bounded risk Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii 2017-01-01 JOURNAL OF APPLIED PROBABILITY - 1.01 Articolo in rivista -
Path-dependent equations and viscosity solutions in infinite dimension Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar 2018-01-01 ANNALS OF PROBABILITY - 1.01 Articolo in rivista Cosso, Federico, Gozzi, Rosestolato, Touzi - AOP1181.pdf
Portfolio choices and VaR constraint with a defaultable asset Emilio, Barucci; Cosso, Andrea 2015-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista -
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 2018-01-01 TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY - 1.01 Articolo in rivista tran7118_AM.pdf
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên 2019-01-01 STOCHASTIC PROCESSES AND THEIR APPLICATIONS - 1.01 Articolo in rivista -
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên 2015-01-01 STOCHASTIC PROCESSES AND THEIR APPLICATIONS - 1.01 Articolo in rivista -