most citedNon-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes

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Non-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes

Elena Bandini, Christian Keller

We study the optimal control of path-dependent piecewise deterministic processes. An appropriate dynamic programming principle is established. We prove that the associated value fu…