Backward stochastic differential equations associated to jump Markov processes and applications

DOI10.1016/j.spa.2013.07.010zbMath1285.60056arXiv1302.0679OpenAlexW2058599644MaRDI QIDQ2434482

Fulvia Confortola, Marco Fuhrman

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0679

zbMATH Keywords

optimal control problembackward stochastic differential equationjump Markov process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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