Andrea Cosso
Cited by
Cited by
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
E Bayraktar, A Cosso, H Pham
Transactions of the American Mathematical Society 370 (3), 2115-2160, 2018
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
A Cosso, M Fuhrman, H Pham
Stochastic Processes and their Applications 126 (7), 1932-1973, 2016
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
A Cosso, F Russo
Infinite Dimensional Analysis, Quantum Probability and Related Topics 19 (04 …, 2016
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
A Cosso
SIAM Journal on Control and Optimization 51 (3), 2102-2131, 2013
Path-dependent equations and viscosity solutions in infinite dimension
A Cosso, S Federico, F Gozzi, M Rosestolato, N Touzi
The Annals of Probability 46 (1), 126-174, 2018
Zero-sum stochastic differential games of generalized McKean–Vlasov type
A Cosso, H Pham
Journal de Mathématiques Pures et Appliquées 129, 180-212, 2019
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
HN Chau, A Cosso, C Fontana, O Mostovyi
Journal of Applied Probability 54 (3), 710-719, 2017
A regularization approach to functional It\^ o calculus and strong-viscosity solutions to path-dependent PDEs
A Cosso, F Russo
arXiv preprint arXiv:1401.5034, 2014
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
E Bandini, A Cosso, M Fuhrman, H Pham
Stochastic Processes and their Applications 129 (2), 674-711, 2019
Backward SDE representation for stochastic control problems with nondominated controlled intensity
S Choukroun, A Cosso
The Annals of Applied Probability 26 (2), 1208-1259, 2016
Robust feedback switching control: dynamic programming and viscosity solutions
E Bayraktar, A Cosso, H Pham
SIAM Journal on Control and Optimization 54 (5), 2594-2628, 2016
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: a control randomization approach
E Bandini, A Cosso, M Fuhrman, H Pham
Annals of Applied Probability 28 (3), 1634-1678, 2018
Strong-viscosity solutions: semilinear parabolic PDEs and path-dependent PDEs
A Cosso, F Russo
arXiv preprint arXiv:1505.02927, 2015
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
S Choukroun, A Cosso, H Pham
Stochastic Processes and their Applications 125 (2), 597-633, 2015
Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
A Cosso, F Russo
Stochastics of Environmental and Financial Economics, 27-80, 2016
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
A Cosso, C Di Girolami, F Russo
Probability on algebraic and geometric structures, 43-65, 2014
BSDEs with diffusion constraint and viscous Hamilton–Jacobi equations with unbounded data
A Cosso, H Pham, H Xing
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 53 (4 …, 2017
On the 1d wave equation in time-dependent domains and the problem of debond initiation
G Lazzaroni, L Nardini
ESAIM: Control, Optimisation and Calculus of Variations 25, 80, 2019
Strong-viscosity solutions: classical and path-dependent PDEs
A Cosso, F Russo
Osaka Journal of Mathematics 56 (2), 323-373, 2019
The value of informational arbitrage
HN Chau, A Cosso, C Fontana
Finance and Stochastics, 1-31, 2020
The system can't perform the operation now. Try again later.
Articles 1–20