The randomization method in stochastic optimal control

DOI10.3934/NACO.2025017MaRDI QIDQ6912424zbMATH OpenFDO

Authors Marco Fuhrman

Publication date 22 October 2025

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingbackward stochastic differential equationsstochastic optimal controlmarked point processesrandomization method

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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