Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function

DOI10.1051/cocv/2017006zbMath1396.93131arXiv1512.01659OpenAlexW2963553379MaRDI QIDQ3177920

Elena Bandini

Publication date: 2 August 2018

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.01659

zbMATH Keywords

backward stochastic differential equationsoptimal control problemspiecewise deterministic Markov processesdiscounted costrandomization of controls

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Schrödinger and Feynman-Kac semigroups (47D08)

Related Items (11)

Optimal Control of Continuous-Time Markov Chains with Noise-Free Observation ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ 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 ⋮ Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains

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