Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes-Reference-Cited by-同舟云学术

Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes

Published:2017-05 Issue:5 Volume:127 Page:1441-1474
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bandini Elena,Fuhrman Marco

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference34 articles.

1. E. Bandini, F. Confortola, Optimal control of semi-Markov processes with a backward stochastic differential equations approach. Preprint, arXiv:1311.1063.

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5. A stochastic target formulation for optimal switching problems in finite horizon;Bouchard;Stochastics,2009

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