-1We consider the problem of optimal multiple switching in a finite horizon when the state of
the system, including the switching costs, is a general adapted stochastic process. The …

We consider a class of backward stochastic differential equations (BSDEs) driven by
Brownian motion and Poisson random measure, and subject to constraints on the jump …

We study a stochastic optimal control problem for a partially observed diffusion. By using the
control randomization method in Bandini et al.(2018), we prove a corresponding …

We consider a moral hazard problem with multiple principals in a continuous-time model.
The agent can only work exclusively for one principal at a given time, so faces an optimal …

This paper deals with existence and uniqueness of a solution in viscosity sense, for a system
of m variational partial differential inequalities with inter-connected obstacles. A particular …

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book
with bid-ask spread and temporary market price impact penalizing speedy execution trades …

The aim of this paper is to provide a survey on recent advances on probabilistic numerical
methods for nonlinear PDEs, which serve as an alternative to classical deterministic …

We introduce a suitable backward stochastic differential equation (BSDE) to represent the
value of an optimal control problem with partial observation for a controlled stochastic …

We propose a comprehensive framework for policy gradient methods tailored to continuous
time reinforcement learning. This is based on the connection between stochastic control …

We study optimal stochastic control problems for non-Markovian stochastic differential
equations (SDEs) where the drift, diffusion coefficients and gain functionals are path …