Optimal control of semi-Markov processes with a backward stochastic differential equations approach
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Publication:525049
DOI10.1007/s00498-016-0181-6zbMath1360.93764arXiv1311.1063OpenAlexW1552220249WikidataQ56527066 ScholiaQ56527066MaRDI QIDQ525049
Fulvia Confortola, Elena Bandini
Publication date: 28 April 2017
Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.1063
backward stochastic differential equationssemi-Markov processesmarked point processesoptimal control problems
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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