Backward stochastic differential equations and optimal control of marked point processes

2012/05/23 by Confortola, Fulvia, Fuhrman, Marco
#60H10 #93E20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1205.5140

Abstract

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 on the data. We next address 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. Finally we introduce a Hamilton-Jacobi-Bellman equation, also stochastic and of backward type, for this class of control problems: when the state space is finite or countable we show that it admits a unique solution which identifies the (random) value function and can be represented by means of the BSDEs introduced above.

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