Foto del docente

Andrea Cosso

Associate Professor

Department of Mathematics

Academic discipline: MAT/06 Probability and Statistics


Keywords: Stochastic optimal control Backward stochastic differential equations Non-linear Feynman-Kac formulae Hamilton-Jacobi-Bellman(-Isaacs) equations Viscosity solutions Mean field games

My research activity lies in the intersection of stochastic analysis and the theory of partial differential equations, including:

  • Stochastic optimal control (in particular, optimal control of path-dependent stochastic differential equations, McKean-Vlasov or mean field optimal control problems, mean field games);
  • Hamilton-Jacobi-Bellman(-Isaacs) equations (in particular, HJB equations in the Wasserstein space, path-dependent HJB equations, and their viscosity solutions);
  • Backward stochastic differential equations (in particular, non-linear Feynman-Kac formulae and the randomization of the control method).

Latest news

At the moment no news are available.