相关论文: Optimal control of semi-Markov processes with a ba…

We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…

We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…

We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…

We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…

This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…

We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…

In this paper, we study a kind of optimal control problem for forward-backward stochastic differential equations (FBSDEs for short) of McKean--Vlasov type via the dynamic programming principle (DPP for short) motivated by studying the…

We construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs). The results…

We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…

In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displaystyle\inf_{u\in U}\bigg\{H(t,x,u, DV(t,x),D \Phi(t,x), D^2…

In this paper we consider the optimal control of Hilbert space-valued infinite-dimensional Piecewise Deterministic Markov Processes (PDMP) and we prove that the corresponding value function can be represented via a Feynman-Kac type formula…

In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…

We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value process can be represented by means of a backward stochastic differential equation (BSDE), defined on an enlarged probability space, containing…

This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…

We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process $X$ with values in a space of continuous functions $\mathbf C$, with…

We consider an optimal control problem for piecewise deterministic Markov processes (PDMPs) on a bounded state space. The control problem under study is very general: a pair of controls acts continuously on the deterministic flow and on the…

This paper addresses the numerical solution of backward stochastic differential equations (BSDEs) arising in stochastic optimal control. Specifically, we investigate two BSDEs: one derived from the Hamilton-Jacobi-Bellman equation and the…

In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…

We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…