A survey of the randomization method proving that the value of an optimal control problem equals the value of a randomized problem and is represented by a constrained BSDE, with a complete tour of applications.
Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
background 1
citation-polarity summary
fields
math.OC 1years
2025 1verdicts
CONDITIONAL 1roles
background 1polarities
support 1representative citing papers
citing papers explorer
-
The randomization method in stochastic optimal control
A survey of the randomization method proving that the value of an optimal control problem equals the value of a randomized problem and is represented by a constrained BSDE, with a complete tour of applications.