Assistant Professor (RTDb)
from November 2017 at the University of Bologna Department of Mathematics Piazza di Porta S. Donato, 5 40126 Bologna, Italy
Office: L5
Phone: +39 051 2094475
email: andrea.cosso at unibo.it
Research interests Probability, stochastic control, stochastic analysis, mathematical finance.
Past positions  Assistant Professor (RTDa) at Politecnico di Milano, Department of Mathematics. January 2016  October 2017.
 Postdoc at LPMA (Laboratoire de Probabilités et Modèles Aléatoires), Université Paris Diderot (Paris 7). January 2014  December 2015.
Education  Ph.D. in Mathematical Models and Methods in Engineering, Politecnico di Milano, January 1, 2011  December 31, 2013. Final examination and grade: February 20, 2014, cum laude.
 Thesis
 Title: Probabilistic representation of some classes of nonlinear PDEs and connections with stochastic optimal control and stochastic analysis.
 Advisor: Prof. Marco Fuhrman.
 Master of Science in Mathematical Engineering, Politecnico di Milano, September 2008  July 21, 2010. Final grade: 110/110 cum laude.
 Thesis
 Title: The effect of ValueatRisk on endogenous risk.
 Advisor: Prof. Emilio Barucci.
 Graduate exchange program at Kungliga Tekniska Högskolan, January 2009  June 2009.
 Bachelor of Science in Mathematical Engineering, Politecnico di Milano, September 2005  July 23, 2008. Final grade: 110/110 cum laude.
 Thesis
 Title: American options and variational inequalities.
 Advisor: Prof. Sandro Salsa.
Preprints and publications
 Zerosum stochastic differential games of generalized McKeanVlasov type, (with Huyên Pham), preprint, [ArXiv], [HAL].
 Backward SDEs and infinite horizon stochastic optimal control, (with Fulvia Confortola and Marco Fuhrman), to appear in ESAIM: Control, Optimisation and Calculus of Variations, [ArXiv].
 Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem, (with Elena Bandini, Marco Fuhrman, Huyên Pham), to appear in Stochastic Processes and their Applications, [ArXiv], [HAL].
 Randomized dynamic programming principle and FeynmanKac representation for optimal control of McKeanVlasov dynamics, (with Erhan Bayraktar and Huyên Pham), Transactions of the American Mathematical Society, (2018), 370 (3), 21152160, [ArXiv], [HAL], [Article].
 Backward SDEs for optimal control of partially observed pathdependent stochastic systems: a control randomization approach, (with Elena Bandini, Marco Fuhrman, Huyên Pham), to appear in Annals of Applied Probability, [ArXiv], [HAL].
 Optimal investment with intermediate consumption under no unbounded profit with bounded risk, (with Huy N. Chau, Claudio Fontana, Oleksii Mostovyi), Journal of Applied Probability, (2017), 54 (3), 710719, [ArXiv], [Article].
 BSDEs with diffusion constraint and viscous HamiltonJacobi equations with unbounded data, (with Huyên Pham and Hao Xing), Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, (2017), 53 (4), 15281547, [ArXiv], [HAL], [Article].
 Strongviscosity solutions: semilinear parabolic PDEs and pathdependent PDEs, (with Francesco Russo), to appear in Osaka Journal of Mathematics, [ArXiv], [HAL].
 Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear pathdependent Kolmogorov equations, (with Francesco Russo), Infinite Dimensional Analysis, Quantum Probability and Related Topics, (2016), 19 (4), 144, [ArXiv], [HAL], [Article].
 Pathdependent equations and viscosity solutions in infinite dimension, (with Salvatore Federico, Fausto Gozzi, Mauro Rosestolato, Nizar Touzi), The Annals of Probability, (2018), 46 (1), 126174, [ArXiv], [HAL], [Article].
 Ergodicity of robust switching control and nonlinear system of quasi variational inequalities, (with Erhan Bayraktar and Huyên Pham), SIAM Journal on Control and Optimization, (2017), 55 (3), 19151953, [ArXiv], [HAL], [Article].
 Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach, (with Marco Fuhrman and Huyên Pham), Stochastic Processes and their Applications, (2016), 126 (7), 1932–1973, [ArXiv], [HAL], [Article].
 Robust feedback switching control: dynamic programming and viscosity solutions, (with Erhan Bayraktar and Huyên Pham), SIAM Journal on Control and Optimization, (2016), 54 (5), 25942628, [ArXiv], [HAL], [Article].
 Backward SDE representation for stochastic control problems with nondominated controlled intensity, (with Sébastien Choukroun), Annals of Applied Probability, (2016), 26 (2), 12081259, [ArXiv], [HAL], [Article].
 Reflected BSDEs with nonpositive jumps, and controllerandstopper games, (with Sébastien Choukroun and Huyên Pham), Stochastic Processes and their Applications, (2015), 125 (2), 597633, [ArXiv], [HAL], [Article].
 Viscosity solutions of pathdependent PDEs and nonMarkovian forwardbackward stochastic equations, preprint, [ArXiv].
 American option valuation in a stochastic volatility model with transaction costs, (with Carlo Sgarra and Daniele Marazzina), Stochastics: An International Journal of Probability and Stochastic Processes, (2015), 87 (3), 518536 [Article].
 Stochastic differential games involving impulse controls and doubleobstacle quasivariational inequalities, SIAM Journal on Control and Optimization, (2013), 51 (3), 21022131, [ArXiv], [Article].
 Portfolio choices and VaR constraint with a defaultable asset, (with Emilio Barucci), Quantitative Finance, (2015), 15 (5), 853864 [SSRN], [Article].
 Does an equity holding tax help to stabilize a VaR regulated financial market?, (with Emilio Barucci), preprint, [SSRN].
Conference publications
 Functional and Banach space stochastic calculi: Pathdependent Kolmogorov equations associated with the frame of a Brownian motion, (with Francesco Russo), Springer Proceedings in Mathematics and Statistics, (2016), 138, 2780; Conference on "Stochastics for Environmental and Financial Economics" (SEFE 2015), Oslo, Norway, [Article].
 Calculus via regularizations in Banach spaces and Kolmogorovtype pathdependent equations, (with Cristina Di Girolami and Francesco Russo), Contemporary Mathematics (AMS), (2016), 668, 4365; Conference on "Probability on Algebraic and Geometric Structures", June 57, 2014, Carbondale, Illinois, USA, [ArXiv], [HAL], [Article].
Talks
 Randomization method in stochastic optimal control. Workshop on BSDEs and SPDEs, University of Edinburgh, July 37, 2017.
 Randomization method in stochastic optimal control. First Italian Meeting on Probability and Mathematical Statistics, Università di Torino  Politecnico di Torino, June 1922, 2017.
 Randomization method in stochastic optimal control. Young Researcher Workshop on Robust Mathematical Finance, ETH Zurich, April 2628, 2017.
 Randomization method in stochastic optimal control. Seminar, Università di Bologna, February 16, 2017.
 Backward SDE representation for stochastic control problems with nondominated controlled intensity. XVIII Workshop on Quantitative Finance, Università di MilanoBicocca, January 2527, 2017.
 Robust feedback switching control. Workshop on "Model Uncertainty & Robust Finance", Università di Milano, November 1011, 2016.
 Functional versus Banach space stochastic calculus, and strongviscosity solutions to pathdependent PDEs. Workshop on "Pathwise methods, Functional Calculus and applications in Mathematical Finance", Wolfgang Pauli Institute (WPI) Vienna, April 46, 2016.
 Randomization method and backward SDEs for optimal control of partially observed pathdependent stochastic systems. Seminar, Università di MilanoBicocca, February 10, 2016.
 Randomization method for optimal control of partially observed pathdependent SDEs. Seminar, Università di Padova, October 21, 2015.
 Randomization method for optimal control of partially observed pathdependent SDEs. Financial/Actuarial Mathematics Seminar, Ann Arbor, Michigan, USA, October 14, 2015.
 Functional versus Banach space stochastic calculus and strongviscosity solutions to semilinear parabolic pathdependent PDEs. 7th General AMaMeF and Swissquote Conference, Lausanne, Switzerland, September 711, 2015.
 Functional versus Banach space stochastic calculus and strongviscosity solutions to semilinear parabolic PDEs and pathdependent PDEs. 13th Viennese Workshop on Optimal Control and Dynamic Games, Vienna, Austria, May 15, 2015.
 Robust feedback switching control. ParisSoutheast Asia Conference in Mathematical Finance, Siem Reap, Cambodia, February 711, 2015.
 Robust feedback switching control. NUSUParis Diderot Workshop on Quantitative Finance, Singapore, February 35, 2015.
 Viscosity solutions for pathdependent PDEs in infinite dimension. Workshop on pathdependent PDEs and stochastic equations with memory, Università di Milano, January 23, 2015.
 BSDE representation for stochastic control problems with controlled intensity. Second Young researchers meeting on BSDEs, Numerics and Finance, Bordeaux, July 79, 2014.
 A regularization approach to functional Itô calculus and strongviscosity solutions to pathdependent PDEs. ENSTA/UMA Seminar, Paris, May 12, 2014.
 Stochastic differential games involving impulse controls. Seminar Université de Bretagne Occidentale, Brest, March 4, 2014.
A regularization approach to functional Itô calculus and strongviscosity solutions to pathdependent PDEs. Seminar Groupe de Travail “Finance Mathématique, Probabilités Numériques et Statistique des Processus”, Université Paris Diderot (Paris 7), January 30, 2014.
 Strongviscosity solutions to pathdependent PDEs. Workshop on pathdependent SDEs, Pisa, January 2122, 2014.
 FeynmanKac representation for HamiltonJacobiBellman(Isaacs) equations. ENSTA/UMA Seminar, Paris, October 28, 2013.
 The pathdependent heat equation. Equadif Seminar, Politecnico di Milano, June 26, 2012.

Stochastic differential games involving impulse controls. Seminar Groupe
de Travail “Finance Mathématique, Probabilités Numériques et Statistique des
Processus”, Université Paris Diderot (Paris 7), October 25, 2012.
 Stochastic differential games involving impulse controls. GNAMPA Summer School, Gaeta, June 1115, 2012.
 Quasivariational inequalities and backward stochastic differential equations. Stochastic Analysis Seminar, Politecnico di Milano, September 27, 2011.
 Does an equity holding tax help to stabilize a VaR regulated market? XII Workshop on Quantitative Finance, Università di Padova, January 2728, 2011.
 Does an equity holding tax help to stabilize a VaR regulated market? Mathematical Finance Seminar, Politecnico di Milano, December 14, 2010.

