Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains

DOI10.1137/18M1171205;zbMath1427.93274arXiv1712.05205MaRDI QIDQ5244156

Elena Bandini

Publication date: 20 November 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.05205

zbMATH Keywords

backward stochastic differential equationsoptimal control problemspiecewise deterministic Markov processesrandomization of controlsnon-quasi-left-continuous random measure

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (5)

Optimal Control of Continuous-Time Markov Chains with Noise-Free Observation ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane

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