The randomization method in stochastic optimal control
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dynamic programmingbackward stochastic differential equationsstochastic optimal controlmarked point processesrandomization method
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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