Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
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Publication:3177920
DOI10.1051/cocv/2017006zbMath1396.93131arXiv1512.01659OpenAlexW2963553379MaRDI QIDQ3177920
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
backward stochastic differential equationsoptimal control problemspiecewise deterministic Markov processesdiscounted costrandomization of controls
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)
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