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- Martino Bardi, Annalisa Cesaroni
- SIAM J. Control and Optimization
- 2005

We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition forâ€¦ (More)

- Annalisa Cesaroni
- Systems & Control Letters
- 2006

We prove a converse Lyapunov theorem for almost sure stabilizability and almost sure asymptotic stabilizability of controlled diffusions: given a stochastic system a.s. stochastic open loopâ€¦ (More)

- Guy Barles, Annalisa Cesaroni, Matteo Novaga
- SIAM J. Math. Analysis
- 2011

We consider the evolution by mean curvature in a highly heterogeneous medium, modeled by a periodic forcing term, with large L-norm but with zero average. We prove existence of a homogenizationâ€¦ (More)

- Martino Bardi, Annalisa Cesaroni, Luigi Manca
- SIAM J. Financial Math.
- 2010

We study singular perturbations of a class of stochastic control problems under assumptions motivated by models of financial markets with stochastic volatilities evolving on a fast time scale. Weâ€¦ (More)

We prove optimality principles for continuous bounded nonnegative viscosity solutions of Hamilton-Jacobi-Bellman equations. In particular we provide a representation formula for viscosityâ€¦ (More)

- Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu
- SIAM J. Financial Math.
- 2014

We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts withâ€¦ (More)

We consider semilinear equations with unbounded drift in the whole of R and we show that monotone solutions with finite energy are one-dimensional.

In recent years, there has been a growing interest in geometric evolution in heterogeneous media. Here we consider curvature driven flows of planar curves, with an additional space-dependent forcingâ€¦ (More)

- Annalisa Cesaroni, Nicolas Dirr, Claudio Marchi
- SIAM J. Math. Analysis
- 2016

This paper concerns the simultaneous effect of homogenization and of the small noise limit for a 2nd order mean field games (MFG) system with local coupling and quadratic Hamiltonian. We show underâ€¦ (More)

We consider stochastic control systems affected by a fast mean reverting volatility Y (t) driven by a pure jump LÃ©vy process. Motivated by a large literature on financial models, we assume that Y (t)â€¦ (More)