COSSO, ANDREA
COSSO, ANDREA
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Backward SDE representation for stochastic control problems with nondominated controlled intensity
2016-01-01 Choukroun, Sébastien; Cosso, Andrea
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
2019-01-01 Bandini, E.; Confortola, F.; Cosso, A.
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
2016-01-01 Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco
Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
2016-01-01 Cosso, Andrea; Russo, Francesco
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
2016-01-01 Cosso, Andrea; Russo, Francesco
Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach
2016-01-01 Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
Portfolio choices and VaR constraint with a defaultable asset
2015-01-01 Barucci, Emilio; Cosso, Andrea
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
2015-01-01 Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên
Robust feedback switching control: Dynamic programming and viscosity solutions
2016-01-01 Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities
2013-01-01 Cosso, Andrea