Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes (Q529424): Difference between revisions

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+backward stochastic differential equations
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+pure jump Markov processes
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+Optimal control of semi-Markov processes with a backward stochastic differential equations approach
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+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
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+Stochastic optimal control. The discrete time case
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+Point processes and queues. Martingale dynamics
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+No Arbitrage and General Semimartingales
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+Wellposedness of second order backward SDEs
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+Backward stochastic differential equation with random measures
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+Publication:529424