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math.PR2013★ 5 cited
Dual and backward SDE representation for optimal control of non-Markovian SDEs
Marco Fuhrman, Huyên Pham
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-depend…
math.PR2013
Backward stochastic differential equations associated to jump Markov processes and applications
Fulvia Confortola, Marco Fuhrman
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 sta…