Andrea Cosso
Università degli Studi di Bologna
H-index: 17
Europe-Italy
Top articles of Andrea Cosso
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions | Transactions of the American Mathematical Society | Andrea Cosso Fausto Gozzi Idris Kharroubi Huyên Pham Mauro Rosestolato | 2024/1 |
Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension | The Annals of Applied Probability | Andrea Cosso Fausto Gozzi Idris Kharroubi Huyên Pham Mauro Rosestolato | 2023/8 |
On smooth approximations in the Wasserstein space | Electronic Communications in Probability | Andrea Cosso Mattia Martini | 2023 |
Crandall–Lions viscosity solutions for path-dependent PDEs: The case of heat equation | Bernoulli | Andrea Cosso Francesco Russo | 2022/2 |
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems | arXiv preprint arXiv:2212.12293 | Matteo Burzoni Andrea Cosso | 2022/12/23 |
Equilibrium price in intraday electricity markets | Mathematical Finance | René Aïd Andrea Cosso Huyên Pham | 2022/4 |
Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions | arXiv preprint arXiv:2107.05959 | Andrea Cosso Fausto Gozzi Mauro Rosestolato Francesco Russo | 2021/7/13 |
The value of informational arbitrage | Finance and Stochastics | Huy N Chau Andrea Cosso Claudio Fontana | 2020/4 |
