$L^p$ solution of backward stochastic differential equations driven by a marked point process

Fulvia Confortola

$L^p$ solution of backward stochastic differential equations driven by a marked point process

Probability 2016-12-04 v1

Authors: Fulvia Confortola

Abstract

We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs 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 problems 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.

Keywords

backward stochastic differential equations reflected backward stochastic differential equations stochastic differential equations

Cite

@article{arxiv.1611.10157,
  title  = {$L^p$ solution of backward stochastic differential equations driven by a marked point process},
  author = {Fulvia Confortola},
  journal= {arXiv preprint arXiv:1611.10157},
  year   = {2016}
}

Comments

arXiv admin note: text overlap with arXiv:1407.0876

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