Optimal control of semi-Markov processes with a backward stochastic differential equations approach (Q525049): Difference between revisions

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English	Optimal control of semi-Markov processes with a backward stochastic differential equations approach	scientific article

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scholarly article

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Optimal control of semi-Markov processes with a backward stochastic differential equations approach (English)

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Fulvia Confortola

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MCSS. Mathematics of Control, Signals, and Systems

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publication date

28 April 2017

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full work available at URL

https://arxiv.org/abs/1311.1063

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zbMATH Keywords

backward stochastic differential equations

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optimal control problems

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semi-Markov processes

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marked point processes

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MaRDI profile type

MaRDI publication profile

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A Dynamic Programming Algorithm for the Optimal Control of Piecewise Deterministic Markov Processes

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Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous

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Second-order BSDEs with jumps: formulation and uniqueness

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Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes

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Backward stochastic differential equations and integral-partial differential equations

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MDP algorithms for portfolio optimization problems in pure jump markets

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A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

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OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

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Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

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Existence of Optimal Stochastic Control Laws

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Martingales on Jump Processes. I: Representation Results

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Optimal Control of Jump Processes

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Point processes and queues. Martingale dynamics

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Continuous Time Markovian Sequential Control Processes

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\(L^p\) solution of backward stochastic differential equations driven by a marked point process

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Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes

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Backward stochastic differential equations associated to jump Markov processes and applications

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Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control

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Continuous Average Control of Piecewise Deterministic Markov Processes

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Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

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Dynamic Programming Conditions for Partially Observable Stochastic Systems

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Necessary and sufficient optimality conditions for control of piecewise deterministic markov processes

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Generalized Bellman-Hamilton-Jacobi optimality conditions for a control problem with a boundary condition

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Piecewise deterministic Markov control processes with feedback controls and unbounded costs

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Optimal high-frequency trading with limit and market orders

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Continuous-time Markov decision processes. Theory and applications

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Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales

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Markov-Renewal Programming. I: Formulation, Finite Return Models

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Continuously Discounted Markov Decision Model with Countable State and Action Space

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Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs

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Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

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Backward SDEs with constrained jumps and quasi-variational inequalities

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Linear programming algorithms for semi-Markovian decision processes

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Controlled jump processes

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Backward stochastic differential equations with jumps and related nonlinear expectations

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Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes

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Martingale conditions for the optimal control of continuous time stochastic systems

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Optimal control of piecewise deterministic markov process

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Backward stochastic differential equation with random measures

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On Reducing a Jump Controllable Markov Model to a Model with Discrete Time

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Bellman inequalities in markov decision deterministic drift processes

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Identifiers

zbMATH Open document ID

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10.1007/s00498-016-0181-6

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Mathematics Subject Classification ID

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zbMATH DE Number

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DBLP publication ID

journals/mcss/BandiniC17

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Sitelinks

Mathematics(1 entry)

mardi Publication:525049

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