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Andrea Cosso

Ricercatore a tempo determinato tipo b) (senior)

Dipartimento di Matematica

Settore scientifico disciplinare: MAT/06 PROBABILITA E STATISTICA MATEMATICA

Pubblicazioni

Bandini, Elena; Confortola, Fulvia; Cosso, Andrea, BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions, «ELECTRONIC JOURNAL OF PROBABILITY», 2019, 24, pp. 1 - 37 [articolo]

Confortola, Fulvia; Cosso, Andrea; Fuhrman, Marco, Backward SDEs and infinite horizon stochastic optimal control, «ESAIM. COCV», 2019, 25, pp. 1 - 30 [articolo]

Cosso A.; Guatteri G.; Tessitore G., Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise, «ESAIM. COCV», 2019, 25, pp. 1 - 29 [articolo]

Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên, Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem, «STOCHASTIC PROCESSES AND THEIR APPLICATIONS», 2019, 129, pp. 674 - 711 [articolo]

Cosso A.; Russo F., Strong-viscosity solutions: Classical and path-dependent pdes, «OSAKA JOURNAL OF MATHEMATICS», 2019, 56, pp. 323 - 373 [articolo]

Cosso, Andrea; Pham, Huyên, Zero-sum stochastic differential games of generalized McKean–Vlasov type, «JOURNAL DE MATHÉMATIQUES PURES ET APPLIQUÉES», 2019, 129, pp. 180 - 212 [articolo]

Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên, Backward sdes for optimal control of partially observed path-dependent stochastic systems: A control randomization approach, «THE ANNALS OF APPLIED PROBABILITY», 2018, 28, pp. 1634 - 1678 [articolo]

Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar, Path-dependent equations and viscosity solutions in infinite dimension, «ANNALS OF PROBABILITY», 2018, 46, pp. 126 - 174 [articolo]

Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên, Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics, «TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY», 2018, 370, pp. 2115 - 2160 [articolo]

Cosso, Andrea; Pham, Huyên; Xing, Hao, BSDEs with diffusion constraint and viscous Hamilton–Jacobi equations with unbounded data, «ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES», 2017, 53, pp. 1528 - 1547 [articolo]

Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên, Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities, «SIAM JOURNAL ON CONTROL AND OPTIMIZATION», 2017, 55, pp. 1915 - 1953 [articolo]

Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii, Optimal investment with intermediate consumption under no unbounded profit with bounded risk, «JOURNAL OF APPLIED PROBABILITY», 2017, 54, pp. 710 - 719 [articolo]

Choukroun, Sébastien; Cosso, Andrea, Backward SDE representation for stochastic control problems with nondominated controlled intensity, «THE ANNALS OF APPLIED PROBABILITY», 2016, 26, pp. 1208 - 1259 [articolo]

Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco, Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations, in: PROBABILITY ON ALGEBRAIC AND GEOMETRIC STRUCTURES, Providence, Rhode Island, American Mathematical Society, 2016, pp. 43 - 65 [capitolo di libro]

Cosso, Andrea; Russo, Francesco, Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations, «INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS», 2016, 19, pp. 1 - 44 [articolo]

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