Backward SDE representation for stochastic control problems with nondominated controlled intensity

DOI10.1214/15-AAP1115zbMath1339.60085arXiv1405.3540OpenAlexW2240853142MaRDI QIDQ292927

Andrea Cosso, Sébastien Choukroun

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3540

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionbackward stochastic differential equationconditionally Poisson random measurecontrolled intensitynonlinear integro-PDEstochastic control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Random measures (60G57) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Integro-partial differential equations (35R09)

Related Items (8)

Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise ⋮ Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics ⋮ Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

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