Andrea Cosso

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

Erhan Bayraktar, Andrea Cosso, Huyên Pham · Transactions of the American Mathematical Society · 2016 · 78 citations · Full text

Engineering, Mathematics, Dynamical Systems +16

Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem

Elena Bandini, Andrea Cosso, Marco Fuhrman et al. · Stochastic Processes and their Applications · 2018 · 36 citations · Full text

Natural Sciences, Mathematics, Optimization +15

Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach

Andrea Cosso, Marco Fuhrman, Huyên Pham · Stochastic Processes and their Applications · 2016 · 34 citations · Full text

Natural Sciences, Mathematics, Differential Equations +11

Path-dependent equations and viscosity solutions in infinite dimension

Andrea Cosso, Salvatore Federico, Fausto Gozzi et al. · The Annals of Probability · 2018 · 33 citations · Full text

Natural Sciences, Mathematics, Differential Equations +15

Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations

Andrea Cosso, Francesco Russo · Infinite Dimensional Analysis Quantum Probability and Related Topics · 2016 · 33 citations · Full text

Engineering, Mathematics, Differential Equations +12