Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function (Q3177920): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / arXiv ID
 
Property / arXiv ID: 1512.01659 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Dynamic Programming Algorithm for the Optimal Control of Piecewise Deterministic Markov Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of semi-Markov processes with a backward stochastic differential equations approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak Dirichlet processes with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Special weak Dirichlet processes and BSDEs driven by a random measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Point processes and queues. Martingale dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional analysis, Sobolev spaces and partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward SDE representation for stochastic control problems with nondominated controlled intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected BSDEs with nonpositive jumps, and controller-and-stopper games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence, uniqueness and comparisons for BSDEs in general spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations associated to jump Markov processes and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Average Control of Piecewise Deterministic Markov Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3136505 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4227207 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3974815 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary and sufficient optimality conditions for control of piecewise deterministic markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3969647 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic representation and approximation for coupled systems of variational inequalities / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDE representations for optimal switching problems with controlled volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Randomized and backward SDE representation for optimal control of non-Markovian SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4274285 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calcul stochastique et problèmes de martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probability essentials. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward SDEs with constrained jumps and quasi-variational inequalities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4226355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Control with State-Space Constraint. II / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3862204 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of piecewise deterministic markov process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equation with random measures / rank
 
Normal rank

Latest revision as of 05:43, 16 July 2024

scientific article
Language Label Description Also known as
English
Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
scientific article

    Statements

    Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function (English)
    0 references
    0 references
    2 August 2018
    0 references
    backward stochastic differential equations
    0 references
    optimal control problems
    0 references
    piecewise deterministic Markov processes
    0 references
    randomization of controls
    0 references
    discounted cost
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references