\(L^p\) 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)
Related Items (5)
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 ⋮ 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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