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Andrea Cosso
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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
802018
Zero-sum stochastic differential games of generalized McKean–Vlasov type
A Cosso, H Pham
Journal de Mathématiques Pures et Appliquées 129, 180-212, 2019
602019
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
532013
Path-dependent equations and viscosity solutions in infinite dimension
A Cosso, S Federico, F Gozzi, M Rosestolato, N Touzi
422018
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
422016
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
412019
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
352016
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
A Cosso, F Gozzi, I Kharroubi, H Pham, M Rosestolato
Transactions of the American Mathematical Society 377 (01), 31-83, 2024
332024
Strong-viscosity solutions: classical and path-dependent PDEs
A Cosso, F Russo
Osaka Journal of Mathematics 56 (2), 323-373, 2019
322019
Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension
A Cosso, F Gozzi, I Kharroubi, H Pham, M Rosestolato
The Annals of Applied Probability 33 (4), 2863-2918, 2023
312023
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
312017
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
312016
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
292014
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: a control randomization approach
E Bandini, A Cosso, M Fuhrman, H Pham
The Annals of Applied Probability 28 (3), 1634-1678, 2018
242018
Crandall–Lions viscosity solutions for path-dependent PDEs: The case of heat equation
A Cosso, F Russo
Bernoulli 28 (1), 481-503, 2022
232022
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
212015
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: Centre of Advanced …, 2016
182016
Backward SDE representation for stochastic control problems with nondominated controlled intensity
S Choukroun, A Cosso
162016
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 668, 43-65, 2014
112014
The value of informational arbitrage
HN Chau, A Cosso, C Fontana
Finance and Stochastics 24, 277-307, 2020
102020
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