Optimal control of semi-Markov processes with a backward stochastic differential equations approach

Applied Probability Models with Optimization Applications.

J. Gani, Sheldon M. Ross · Journal of the American Statistical Association · 1971 · 2.2K citations

Natural Sciences, Mathematics, Optimization +13

Backward stochastic differential equations and integral-partial differential equations

Guy Barles, Rainer Buckdahn, Étienne Pardoux · Stochastics and stochastics reports · 1997 · 572 citations

Natural Sciences, Mathematics, Differential Equations +10

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

Shanjian Tang, Xunjing Li · SIAM Journal on Control and Optimization · 1994 · 543 citations

Natural Sciences, Mathematics, Dynamical Systems +16

Backward stochastic differential equations with jumps and related non-linear expectations

Manuela Royer · Stochastic Processes and their Applications · 2006 · 268 citations

Engineering, Mathematics, Differential Equations +13

Existence of Optimal Stochastic Control Laws

Vladimír Beneš · SIAM Journal on Control · 1971 · 244 citations

Engineering, Mathematics, Dynamical Systems +15