Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure

DOI10.1080/17442508.2014.914514zbMath1319.60135OpenAlexW1965344450MaRDI QIDQ5265772

Zhen Wu, Jing-Tao Shi

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.914514

zbMATH Keywords

Brownian motioncomparison theorembackward stochastic differential equationsMarkov switchingPoisson random measurestochastic optimal control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Random measures (60G57) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items

Backward stochastic differential equations with regime-switching and sublinear expectations ⋮ Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps ⋮ Linear-quadratic optimal control under non-Markovian switching

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