Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
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Publication:303970
DOI10.1214/15-AAP1132zbMath1345.60048arXiv1407.0876WikidataQ115240851 ScholiaQ115240851MaRDI QIDQ303970
Marco Fuhrman, Fulvia Confortola, Jean Jacod
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.0876
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Existence of optimal solutions to problems involving randomness (49J55)
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