BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions

DOI10.1214/19-EJP333zbMath1466.60112arXiv1810.01728OpenAlexW2972311070MaRDI QIDQ2274200

Fulvia Confortola, Elena Bandini, Andrea Cosso

Publication date: 19 September 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.01728

zbMATH Keywords

backward stochastic differential equationsviscosity solutionsrandomization methodinfinite-dimensional path-dependent controlled SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation

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