Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
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Publication:529424
DOI10.1016/j.spa.2016.08.005zbMath1362.93163arXiv1501.04362OpenAlexW2267376484MaRDI QIDQ529424
Publication date: 18 May 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.04362
randomizationbackward stochastic differential equationsmarked point processesoptimal control problemspure jump Markov processes
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (14)
Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Weak Dirichlet processes with jumps ⋮ An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem ⋮ 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 ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains
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