Backward SDE representation for stochastic control problems with nondominated controlled intensity (Q292927)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward SDE representation for stochastic control problems with nondominated controlled intensity |
scientific article |
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Backward SDE representation for stochastic control problems with nondominated controlled intensity (English)
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9 June 2016
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stochastic control problems
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nonlinear integro-PDE
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backward stochastic differential equation
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controlled intensity
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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conditionally Poisson random measure
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