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20132026
most citedExistence and uniqueness for backward stochastic differential equations driven by a random measure

7 citations · 12 across the 16 of their papers we have counts for

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Showing 2019Show all

2 papers · 1 filter

math.OC2019

Optimal control of infinite-dimensional Piecewise Deterministic Markov Processes: a BSDE approach. Application to the control of an excitable cell membrane

Elena Bandini, Michele Thieullen

In this paper we consider the optimal control of Hilbert space-valued infinite-dimensional Piecewise Deterministic Markov Processes (PDMP) and we prove that the corresponding value…

math.PR2019

A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces

Davide Addona, Elena Bandini, Federica Masiero

We consider a Backward Stochastic Differential Equation (BSDE for short) in a Markovian framework for the pair of processes , with generator with quadratic growth with respe…