Stochastic optimal control, stochastic calculus for discontinuous processes and random measures, backward stochastic differential equations, partial differential equations of Hamilton-Jacobi-Bellman type, mathematical finance.
Optimal Dividend Payout under Stochastic Discounting (with Tiziano De Angelis, Giorgio Ferrari and Fausto Gozzi). Preprint, [ArXiv].
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics (with Alessandro Calvia and Katia Colaneri). Preprint, [ArXiv].
The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures (with Francesco Russo). Stochastics and Dynamics 20(6), 2040011 (27 pages), 2020, [ArXiv], [HAL].
A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces (with Davide Addona and Federica Masiero). To appear in Nonlinear Differential Equations and Applications, 27(37), 2020, [ArXiv], [Article].
Optimal control of infinite dimensional Piecewise Deterministic Markov Processes: a BSDE approach. Application to the control of an excitable cell membrane (with Michèle Thieullen). To appear in Applied Mathematics and Optimization, 2020, [ArXiv], [Article].
Constrained BSDEs driven by a non quasi-left-continuous random measure and optimal control of PDMPs on bounded domains. SIAM Journal on Control and Optimization, 57(6), 3767-3798, 2019, [ArXiv], [Article].
BSDE Representation and Randomized Dynamic Programming Principle for Stochastic Control Problems of Infinite-Dimensional Jump-Diffusions (with Fulvia Confortola and Andrea Cosso). Electronic Journal of Probability, 24(81), 1-37, 2019, [ArXiv], [Article].
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem (with Andrea Cosso, Marco Fuhrman, Huyên Pham). Stochastic Processes and their Applications, 129 (2), 674-711, 2019, [ArXiv], [HAL], [Article].
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach (with Andrea Cosso, Marco Fuhrman, Huyên Pham). The Annals of Applied Probability, 28 (3), 1634-1678, 2018, [ArXiv], [HAL], [Article].
Special weak Dirichlet processes and BSDEs driven by a random measure (with Francesco Russo). Bernoulli, 24 (4A), 2569-2609, 2018, [ArXiv], [HAL], [Article].
Optimal control of piecewise-deterministic Markov processes: a BSDE representation of the value function. ESAIM: Control, Optimisation and Calculus of Variations, 24 (1), 311-354, 2018, [ArXiv], [Article].
Weak Dirichlet processes with jumps (with Francesco Russo). Stochastic Processes and their Applications, 127 (12), 4139-4189, 2017, [ArXiv], [HAL], [Article].
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes (with Marco Fuhrman). Stochastic Processes and their Applications, 127 (5), 1441-1474, 2017, [ArXiv], [Article].
Optimal control of semi-Markov processes with a backward stochastic differential equations approach (with Fulvia Confortola). Mathematics of Control, Signals, and Systems, 29 (1), 1-35, 2017, [ArXiv], [Article].
Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous. Electronic Communications in Probability, 20 (71), 1-13, 2015, [ArXiv], [Article].