Optimal control of semi-Markov processes with a backward stochastic differential equations approach-Reference-Cited by-同舟云学术

Optimal control of semi-Markov processes with a backward stochastic differential equations approach

Published:2016-12-19 Issue:1 Volume:29 Page:
ISSN:0932-4194
Container-title:Mathematics of Control, Signals, and Systems
language:en
Short-container-title:Math. Control Signals Syst.

Author:

Bandini Elena,Confortola Fulvia^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization,Signal Processing,Control and Systems Engineering

Link

http://link.springer.com/content/pdf/10.1007/s00498-016-0181-6.pdf

Reference55 articles.

1. Almudevar A (2001) A dynamic programming algorithm for the optimal control of piecewise deterministic Markov processes. SIAM J Control Optim 40(2):525–539

2. Bandini E (2015) Existence and uniqueness for backward stochastic differential equations driven by a random measure. Electron Commun Probab 20(71):1–13

3. Bandini E (2015) Optimal control of piecewise-deterministic Markov processes: a backward SDE representation of the value function. arXiv:1512.01659

4. Bandini E, Fuhrman M (2016) Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes. Stoch Proc Appl. doi: 10.1016/j.spa.2016.08.005

5. Barles G, Buckdahn R, Pardoux E (1997) Backward stochastic differential equations and integral-partial differential equations. Stoch Stoch Rep 60(1–2):57–83

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