\(L^p\) solution of backward stochastic differential equations driven by a marked point process
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Publication:1756570
DOI10.1007/S00498-018-0230-4zbMath1405.93230arXiv1611.10157OpenAlexW2558414148MaRDI QIDQ1756570
Publication date: 21 December 2018
Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.10157
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
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Related Items (6)
Locally Lipschitz BSDE with jumps and related Kolmogorov equation ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Mean reflected BSDE driven by a marked point process and application in insurance risk management ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ Time-dynamic evaluations under non-monotone information generated by marked point processes
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