Federica Masiero

Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton-Jacobi-Bellman Equations

We consider an Ito stochastic differential equation with delay, driven by Brownian motion, whose solution, by an appropriate reformulation, defines a Markov process

On the Existence of Optimal Controls for SPDEs with Boundary Noise and Boundary Control

X

Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing

with values in a space of continuous functions

A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition

\mathbf{C}

Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian

, with generator

Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients

\mathcal{L}

Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients

. We then consider a backward stochastic differential equation depending on

Stochastic Optimal Control for the Stochastic Heat Equation with Exponentially Growing Coefficients and with Control and Noise on a Subdomain

X

HJB equations in infinite dimensions under weak regularizing properties

, with unknown processes

Approximation of eigenfunctions of elliptic differential operators

(Y,Z)