Backward stochastic differential equations and optimal control of marked point processes

SIAM Journal on Control and Optimization

Volumn 51, Issue 5, 2013, Pages 3592-3623

  Confortola, Fulvia ^a   Fuhrman, Marco ^a  

^a POLITECNICO DI MILANO   (Italy)

Author keywords

Backward stochastic differential equations; Marked point processes; Optimal control problems

Indexed keywords

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; CONTINUOUS DEPENDENCE; CONTROL PROBLEMS; HAMILTON JACOBI BELLMAN EQUATION; MARKED POINT PROCESS; OPTIMAL CONTROL PROBLEM; OPTIMAL CONTROLS; VALUE FUNCTIONS;

CONTROL; OPTIMAL CONTROL SYSTEMS;

DIFFERENTIAL EQUATIONS;

EID: 84890444065     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/120902835     Document Type: Article

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