BSDEs and point processes

Luogo:  Aula Seminari “-1” – Dipartimento di Matematica
Ore 11:00

• Relatore: Fulvia Confortola  (Politecnico di Milano)

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Abstract: 

We formulate and solve a class of BSDEs driven by the compensated random measure associated to a given marked point process on a general state space. We present basic well-posedness results, then we address applications to optimal control of marked point processes, where the solution of the BSDE allows to identify the value function and the optimal control. The talk is based on joint works with Marco Fuhrman and Jean Jacod.

Referente: Stefano Bonaccorsi