Zobrazeno 1 - 10
of 74
pro vyhledávání: '"Confortola, Fulvia"'
In this paper, we focus on solving the optimal control problem for integral stochastic Volterra equations in a finite dimensional setting. In our setting, the noise term is driven by a pure jump L\'evy noise and the control acts on the intensity of t
Externí odkaz:
http://arxiv.org/abs/2403.12875
In the present paper we address stochastic optimal control problems for a step process $(X,\mathbb{F})$ under a progressive enlargement of the filtration. The global information is obtained adding to the reference filtration $\mathbb{F}$ the point pr
Externí odkaz:
http://arxiv.org/abs/2112.12884
Autor:
Bandini, Elena1 elena.bandini7@unibo.it, Confortola, Fulvia2 fulvia.confortola@polimi.it, Di Tella, Paolo3 Paolo.Di_Tella@tu-dresden.de
Publikováno v:
ALEA. Latin American Journal of Probability & Mathematical Statistics. 2024, Vol. 21 Issue 1, p95-120. 82p.
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed on the co
Externí odkaz:
http://arxiv.org/abs/1810.01728
Autor:
Confortola, Fulvia
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be approximated by a
Externí odkaz:
http://arxiv.org/abs/1611.10157
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an underlying independ
Externí odkaz:
http://arxiv.org/abs/1609.04977
Publikováno v:
Annals of Applied Probability 2016, Vol. 26, No. 3, 1743-1773
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition holds (see As
Externí odkaz:
http://arxiv.org/abs/1407.0876
Autor:
Bandini, Elena, Confortola, Fulvia
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove that the val
Externí odkaz:
http://arxiv.org/abs/1311.1063
Autor:
Confortola, Fulvia, Fuhrman, Marco
In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness of a class
Externí odkaz:
http://arxiv.org/abs/1302.0679
Autor:
Confortola, Fulvia, Fuhrman, Marco
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution on the data
Externí odkaz:
http://arxiv.org/abs/1205.5140