Optimal control of semi-Markov processes with a backward stochastic differential equations approach

@article{Bandini2017OptimalCO,
  title={Optimal control of semi-Markov processes with a backward stochastic differential equations approach},
  author={Elena Bandini and F. Confortola},
  journal={Mathematics of Control, Signals, and Systems},
  year={2017},
  volume={29},
  pages={1-35}
}
In the present work, we employ backward stochastic differential equations (BSDEs) to study the optimal control problem of semi-Markov processes on a finite horizon, with general state and action spaces. More precisely, we prove that the value function and the optimal control law can be represented by means of the solution of a class of BSDEs driven by a semi-Markov process or, equivalently, by the associated random measure. We also introduce a suitable Hamilton–Jacobi–Bellman (HJB) equation… Expand
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  • F. Confortola
  • Mathematics, Computer Science
  • Math. Control. Signals Syst.
  • 2019
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$$L^p$$Lp solution of backward stochastic differential equations driven by a marked point process
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  • 2019
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