7 citations · 12 across the 16 of their papers we have counts for
6 papers · 1 filter
Optimal control of Piecewise Deterministic Markov Processes: a BSDE representation of the value function
Elena Bandini
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 d…
Weak Dirichlet processes with jumps
Elena Bandini, Francesco Russo
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dir…
Special weak Dirichlet processes and BSDEs driven by a random measure
Elena Bandini, Francesco Russo
This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is special semimartingale, or even more generally, a special weak Dirichlet pr…
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the contr…
Existence and uniqueness for backward stochastic differential equations driven by a random measure
Elena Bandini
We study the following backward stochastic differential equation on finite time horizon driven by an integer-valued random measure on , where is a Lusi…
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Elena Bandini, Marco Fuhrman
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…