Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

Bandini, Elena¹  Fuhrman, Marco¹ 

[1] Politecn Milan, Dipartimento Matemat, Via Bonardi 9, I-20133 Milan, Italy

关键词: Backward stochastic differential equations;    Optimal control problems;    Pure jump Markov processes;    Marked point processes;    Randomization;   

DOI  :  10.1016/j.spa.2016.08.005

来源: Elsevier

【 摘 要 】

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 parameter and controlled by a feedback law. For this class of problems the value function can often be described as the unique solution to the corresponding Hamilton-Jacobi-Bellman equation. We prove a probabilistic representation for the value function, known as nonlinear Feynman-Kac formula. It relates the value function with a backward stochastic differential equation (BSDE) driven by a random measure and with a sign constraint on its martingale part. We also prove existence and uniqueness results for this class of constrained BSDEs. The connection of the control problem with the constrained BSDE uses a control randomization method recently developed by several authors. This approach also allows to prove that the value function of the original non-dominated control problem coincides with the value function of an auxiliary dominated control problem, expressed in terms of equivalent changes of probability measures. (c) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free