Optimal control of semi-Markov processes with a backward stochastic differential equations approach
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Publication:525049
DOI10.1007/s00498-016-0181-6zbMath1360.93764DBLPjournals/mcss/BandiniC17arXiv1311.1063OpenAlexW1552220249WikidataQ56527066 ScholiaQ56527066MaRDI QIDQ525049
Fulvia Confortola, Elena Bandini
Publication date: 28 April 2017
Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.1063
backward stochastic differential equationssemi-Markov processesmarked point processesoptimal control problems
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Related Items (8)
On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Optimal control for stochastic Volterra equations with multiplicative Lévy noise ⋮ Weak Dirichlet processes with jumps ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
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