Backward SDE representation for stochastic control problems with nondominated controlled intensity

DOI10.1214/15-AAP1115zbMath1339.60085arXiv1405.3540OpenAlexW2240853142MaRDI QIDQ292927

Andrea Cosso, Sébastien Choukroun

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3540

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionbackward stochastic differential equationconditionally Poisson random measurecontrolled intensitynonlinear integro-PDEstochastic control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Random measures (60G57) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Integro-partial differential equations (35R09)

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