Papers
52. Fuhrman, M., Morlais, M.-A.
Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs.
Stochastic Processes and their Applications 130 (2020), no. 5, 3120--3153.
51. Bandini, E., Cosso, A., Fuhrman, M., Pham, H.
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem.
Stochastic Processes and their Applications 129 (2017), no. 2, 674--711.
50. Confortola, F., Cosso, A., Fuhrman, M.
Backward SDEs and infinite horizon stochastic optimal control.
ESAIM. Control, Optimisation and Calculus of Variations 25 (2019), 31, 30pp.
49. Bandini, E., Cosso, A., Fuhrman, M., Pham, H.
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: a control randomization approach.
The Annals of Applied Probability 28 (2018), no. 3, 1634--1678.
48. Confortola, F., Fuhrman, M., Guatteri, G., Tessitore, G.
Linear-quadratic optimal control under non-Markovian switching.
Stochastic Analysis and Applications 36 (2018), no.1, 166-180.
47. Fuhrman, M., Hu, Y., Tessitore, G.
Stochastic maximum principle for optimal control of partial differential equations driven by white noise.
Stochastic and Partial Differential Equations: Analysis and Computations.
Published on line 6 Dec 2017, doi 10.1007/s40072-017-0108-3, 1-31.
46. Bandini, E., Fuhrman, M.
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes.
Stochastic Processes and their Applications 127 (2017), no. 5, 1441-1474.
45. Fuhrman, M., Masiero, F., Tessitore, G.
Reflected BSDEs, optimal control and stopping for infinite-dimensional systems.
ESAIM. Control, Optimisation and Calculus of Variations 23 (2017), no. 4, 419-1445.
44. Confortola, F., Fuhrman, M., Jacod, J.
Backward stochastic differential equations driven by a marked point process: an elementary approach, with an application to optimal control.
The Annals of Applied Probability 26 (2016), no. 3, 1743-1773.
43. Cosso, A., Fuhrman, M., Pham, H.
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach.
Stochastic Processes and their Applications 126 (2016), no. 7, 1932-1973.
42. Fuhrman, M., Orrieri, C.
Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift.
SIAM Journal on Control and Optimization 54 (2016), no. 1, 341–371.
41. Fuhrman, M., Pham, H., Zeni, F.
Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump.
Electronic Communications in Probability 21 (2016), paper no. 3, 7 pp.
40. Fuhrman M., Pham, H.
Randomized and backward SDE representation for optimal control of non-Markovian SDEs.
The Annals of Applied Probability 25 (2015), no. 4, 2134–2167.
39. Confortola, F., Fuhrman, M.
Backward stochastic differential equations associated to jump Markov processes and ap- plications.
Stochastic Processes and their Applications 124 (2014), no. 1, 289–316.
38. Fuhrman, M., Hu, Y., Tessitore, G.
Stochastic Maximum Principle for Optimal Control of SPDEs.
Applied Mathematics and Optimization 68 (2013), no. 2, 181–217.
37. Confortola, F., Fuhrman, M.
Backward Stochastic Differential Equations and Optimal Control of Marked Point Pro- cesses.
SIAM Journal on Control and Optimization 51 (2013), no. 5, 3592–3623.
36. Confortola, F., Fuhrman, M.
Filtering of continuous-time Markov chains with noise-free observation and applications.
Stochastics. An International Journal of Probability and Stochastic Processes 85 (2013), no. 2, 216–251.
35. Fuhrman, M., Hu, Y., Tessitore, G.
Stochastic maximum principle for optimal control of SPDEs.
Comptes Rendus Acad. Sci. Paris, Ser. I 350 (2012), 683–688.
34. Fuhrman, M., Masiero, F., Tessitore, G.
Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations,
SIAM Journal on Control and Optimization 48 (2010), no. 7, 4624-4651.
33. Fuhrman, M., Hu, Y., Tessitore, G.
Ergodic BSDEs and optimal ergodic control in Banach spaces,
SIAM Journal on Control and Optimization 48 (2009), no. 3, 1542–1566.
32. Fuhrman M., Hu, Y.
Backward stochastic differential equations in infinite dimensions with continuous drivers and applications,
Applied Mathematics and Optimization 56 (2007), no. 2, 265-302.
31. Debussche, A., Fuhrman, M., Tessitore, G.
Optimal control of a stochastic heat equation with boundary-noise and boundary-control.
ESAIM Control Optim. Calc. Var. 13 (2007), no. 1, 178–205 (electronic).
30. Fuhrman M., Hu, Y., Tessitore G.
On a class of stochastic optimal control problems related to BSDEs with quadratic growth.
SIAM Journal on Control and Optimization 45 (4) (2006), 1279-1296.
29. Fuhrman M., Hu, Y.
Infinite horizon BSDEs in infinite dimensions with continuous driver and applications.
Journal of Evolution Equations 6 (2006), no. 3, 459-484.
28. Fuhrman, M., Tessitore, G.
Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations,
Applied Mathematics and Optimization 51 (2005), no. 3, 279-332.
27. Fuhrman M., Tessitore, G.
Existence of optimal stochastic controls and global solutions of forward-backward stochastic differential equations.
SIAM Journal on Control and Optimization 43 (2004), no. 3, 813-830.
26. Bonaccorsi, S., Fuhrman, M.
Integration by parts and smoothness of the law for a class of stochastic evolution equations.
Infinite Dimensional Analysis, Quantum Probability and Related Topics 7 (2004), no. 1, 89-129.
25. Fuhrman, M., Tessitore, G.
Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces,
The Annals of Probability 32 (2004), no. 1 B, 607-660.
24. Fuhrman, M., Paganoni, A.M.
Linear control systems on unbounded time intervals and invariant measures of Ornstein-Uhlenbeck processes in Hilbert spaces.
SIAM Journal on Control and Optimization 42 (2003), no. 5, 1776-1794.
23. Fuhrman, M.
A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.
Stochastic Processes and their Applications 108 (2003), no. 2, 263-298.
22. Fuhrman, M., Tessitore, G.
The Bismut-Elworthy formula for Backward SDE’s and applications to nonlinear Kol- mogorov equations and control in infinite dimensional spaces.
Stochastics and Stochastics Reports 74 (2002), no. 1-2, 429–464.
21. Fuhrman, M., Tessitore, G.
Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control.
The Annals of Probability 30 (2002), no. 3, 1397–1465.
20. Fuhrman, M.
Logarithmic derivatives of invariant measure for stochastic differential equations in Hilbert spaces.
Stochastics and Stochastics Reports 71 (2001), no. 3-4, 269–290.
19. Fuhrman, M.
Regularity properties of transition probabilities in infinite dimensions.
Stochastics and Stochastics Reports 69 (2000), no. 1-2, 31-65.
18. Fuhrman, M., Röckner, M.
Generalized Mehler semigroups: the non Gaussian case.
Potential Analysis 12 (2000), no. 1, 1-47.
17. Bonaccorsi, S., Fuhrman, M.
Regularity results for infinite dimensional diffusions. A Malliavin calculus approach.
Rendiconti di Matematica Accademia dei Lincei, s. 9, 10 (1999), 35-45.
16. Da Prato, G., Fuhrman, M., Malliavin, P.
Asymptotic ergodicity of the process of conditional law in some problem of non linear filtering.
Journal of Functional Analysis 164 (1999), no. 2, 356-377.
15. Fuhrman, M.
On a class of stochastic equations in Hilbert spaces: solvability and smoothing properties.
Journal of Stochastic Analysis and Applications 17 (1999), no. 1, 43-69.
14. Fuhrman, M.
Hypercontractivity properties of nonsymmetric Ornstein–Uhlenbeck semigroups in Hilbert spaces.
Journal of Stochastic Analysis and Applications 16 (1998), no. 2, 241-260.
13. Favini, A., Fuhrman M.
Approximation results for semigroups generated by multivalued linear operators and applications.
Differential and Integral Equations 11 (1998), no. 5, 781-805.
12. Ahmed, N.U., Fuhrman, M., Zabczyk, J.
On filtering equations in infinite dimensions.
Journal of Functional Analysis 143 (1997), no. 1, 180-204.
11. Fuhrman, M.
On the sum of generators of analytic semigroups.
Rend. Istit. Mat. Univ. Trieste 28 (Suppl.) (1997), 147-199.
10. Fuhrman, M.
Sums of generators of analytic semigroups and multivalued linear operators.
Annali di Matematica pura ed applicata, (IV) 173 (1997), 63-105.
9. Fuhrman, M.
Smoothing properties of nonlinear stochastic equations in Hilbert spaces.
NoDEA - Nonlinear Differential Equations and Applications 3 (1996), no.4, 445-464.
8. Da Prato, G., Fuhrman, M., Malliavin, P.
Asymptotic ergodicity for the Zakai filtering equation.
Comptes Rendus Acad. Sci. Paris, 321 (I) (1995), 613-616.
7. Fuhrman, M.
Hypercontractivité des semi-groupes de Ornstein-Uhlenbeck non symétriques.
Comptes Rendus Acad. Sci. Paris, 321 (I) (1995), 929-932.
6. Fuhrman, M.
A note on the nonsymmetric Ornstein-Uhlenbeck process in Hilbert spaces.
Applied Mathematics Letters 8 (1995), no. 3, 19-22.
5. Fuhrman, M.
Analyticity of transition semigroups and closability of bilinear forms in Hilbert spaces.
Studia Mathematica 115 (1995), no. 1, 53-71.
4. Fuhrman, M.
Sums of linear operators of parabolic type in a Hilbert space: strict solutions and maximal regularity.
Advances in Mathematical Sciences and Applications 4 (1994), no. 1, 1-34.
3. Fuhrman, M.
Sums of linear operators of parabolic type: a priori estimates and strong solutions.
Annali di Matematica pura ed applicata, (IV) 164 (1993), 229-257.
2. Fuhrman, M.
Bounded solutions for abstract time-periodic parabolic equations with nonconstant domain.
Differential and Integral Equations 4 (1991), no. 3, 493-518.
1. Fuhrman, M.
On Boussinesq’s model for free convection in an unbounded domain.
Rendiconti Istituto Lombardo Sc. Lett., A 122 (1988), 231-271.
Contributions
1. Fuhrman, M., Tessitore, G.
HJB Equations Through Backward Stochastic Differential Equations.
Chapter 6 (pp. 685--781) in the book:
Fabbri, G., Gozzi, F., Swiech, A.
Stochastic optimal control in infinite dimension. Dynamic programming and HJB equations. With a contribution by Marco Fuhrman and Gianmario Tessitore.
Probability Theory and Stochastic Modelling, 82. Springer, Cham, 2017. xxiii+916 pp.
Proceedings
6. Alippi, C., Fuhrman, M., Roveri, M.
k-NN classifiers: investigating the k = k(n) relationship.
Proceedings of the Conference “IJCNN 08 – International Joint Conference on Neural Networks 2008” (Hong Kong, 1-6 June 2008).
5. Fuhrman, M., Hu, Y., Tessitore, G.
Stochastic control and BSDEs with quadratic growth.
Proceedings of the Conference “Control Theory and Related Topics”, in memory of Pro- fessor Xunjing Li, (Fudan University, Shanghai, China, 3 - 5 June 2005), editors S. Tang - J. Yong, 80–86, World Scientific Publishing Company, 2007.
4. Fuhrman, M.
On a class of quasi linear equations in infinite dimensional spaces.
Proceedings of the Conference “Evolution equations, semigroups and functional analysis”, in memory of Brunello Terreni, (Milano, 2000), editors A. Lorenzi - B. Ruf, 137–154, Progess in Nonlinear Differential Equations and Their Applications, 50, Birkäuser, 2002.
3. Da Prato, G., Fuhrman, M., Zabczyk, J.
A note on regularizing properties of Ornstein-Uhlenbeck semigroups in infinite dimensions.
Proceedings of the Conference “Stochastic partial differential equations and applications” (Trento, 2002), editors G. Da Prato - L. Tubaro, 167–182, Lecture Notes in Pure and Appl. Math., 227, Dekker, 2002.
2. Fuhrman, M.
Hypercontractivity of some nonsymmetric semigroups,
Ann. Univ. Ferrara - Sez. VII - Sc. Mat., Suppl. Vol. XLI (1995), proceedings of the Conference MURST 40% “Equazioni differenziali”, Ferrara, June 3-6, 1996, p. 189-197.
1. Fuhrman, M.
Bounded imaginary powers of abstract differential operators,
in: “Evolution Equations, Control Theory and Biomathematics”, proceedings of the Han- sur-Lesse Conference, Han-sur-Lesse (Belgium), October 20-26, 1991, editors Ph. Cl´ement - G. Lumer, Marcel Dekker 1994, p. 215-223.
PhD thesis (in Italian)
Fuhrman, M.,
Proprietà e applicazioni delle somme di operatori lineari.
PhD thesis in Mathematics, 1993.
Educational publications (partly in Italian)
4. Fuhrman, M.
Appunti di statistica inferenziale - Fondamenti e teoria asintotica della stima. Progetto Leonardo, Societ`a Editrice Esculapio, Bologna, 2009. ISBN: 978-88-7488.
3. Fuhrman, M., Tessitore, G.
Backward stochastic differential equations and in finite and infinite dimensions. Applications to optimal control and hedging.
Quaderni del Dipartimento di Matematica, Università di Parma, n. 380 (2004).
2. Fuhrman, M.
Appunti sulla regressione lineare.
Quaderni del Dipartimento di Matematica del Politecnico di Milano, n. 30/R (2000), p. 1-93.
1. Fuhrman, M.
Appunti sul teorema spettrale.
Quaderni del Dipartimento di Matematica del Politecnico di Milano, n. 19/R (1996), p. 1-60.