4.1 Article

Lp solution of backward stochastic differential equations driven by a marked point process

期刊

出版社

SPRINGER LONDON LTD
DOI: 10.1007/s00498-018-0230-4

关键词

Backward stochastic differential equations; Marked point processes; Stochastic optimal control; 60H10; 60G55; 93E20

向作者/读者索取更多资源

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.

作者

我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。

评论

主要评分

4.1
评分不足

次要评分

新颖性
-
重要性
-
科学严谨性
-
评价这篇论文

推荐

暂无数据
暂无数据