Backward stochastic differential equations associated to jump Markov processes and applications

DOI10.1016/J.SPA.2013.07.010zbMATH Open1285.60056arXiv1302.0679OpenAlexW2058599644MaRDI QIDQ2434482FDOQ2434482

Authors: F. Confortola, Marco Fuhrman 

Publication date: 6 February 2014

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

Abstract: In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness of a class of nonlinear parabolic differential equations on K, that generalize the Kolmogorov equation of X. Finally we formulate and solve optimal control problems for Markov jump processes, relating the value function and the optimal control law to an appropriate BSDE that also allows to construct probabilistically the unique solution to the Hamilton-Jacobi-Bellman equation and to identify it with the value function.

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

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zbMATH Keywords

backward stochastic differential equationjump Markov processoptimal control problem

Mathematics Subject Classification ID

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

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Cited In (23)

• Mean reflected BSDE driven by a marked point process and application in insurance risk management
• Backward stochastic differential equations with jumps and related nonlinear expectations
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• The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
• The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations
• Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
• Locally Lipschitz BSDE with jumps and related Kolmogorov equation
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
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• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
• Optimal control for stochastic Volterra equations with multiplicative Lévy noise
• Approximately reachable directions for piecewise linear switched systems
• Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes
• Backward stochastic differential equations with Markov chains and related asymptotic properties
• \(L^p\) solution of backward stochastic differential equations driven by a marked point process
• Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
• Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
• Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes

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