Journal
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
Volume 51, Issue 5, Pages 3592-3623Publisher
SIAM PUBLICATIONS
DOI: 10.1137/120902835
Keywords
backward stochastic differential equations; optimal control problems; marked point processes
Categories
Ask authors/readers for more resources
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution on the data. We next address optimal control problems for point processes of general non-Markovian type and show that BSDEs can be used to prove existence of an optimal control and to represent the value function. Finally we introduce a Hamilton-Jacobi-Bellman equation, also stochastic and of backward type, for this class of control problems: when the state space is finite or countable we show that it admits a unique solution which identifies the (random) value function and can be represented by means of the BSDEs introduced above.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available