Backward SDE representation for stochastic control problems with nondominated controlled intensity

Annals of Applied Probability

Volumn 26, Issue 2, 2016, Pages 1208-1259

  Choukroun, Sébastien ^a   Cosso, Andrea ^a  

^a UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

BSDE with jumps; Conditionally poisson random measure; Constrained BSDE; Controlled intensity; Hamilton jacobi bellman equation; Nonlinear integro PDE; Viscosity solution

Indexed keywords

EID: 84964402959     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/15-AAP1115     Document Type: Article

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