Journal
MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS
Volume 31, Issue 1, Pages -Publisher
SPRINGER LONDON LTD
DOI: 10.1007/s00498-018-0230-4
Keywords
Backward stochastic differential equations; Marked point processes; Stochastic optimal control; 60H10; 60G55; 93E20
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We obtain existence and uniqueness in Lp, p>1 of the solutions of a backward stochastic differential equation (BSDE for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be approximated by a finite system of deterministic differential equations. As application, we address an optimal control problem 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.
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