{"id":"https://openalex.org/W2113393771","doi":"https://doi.org/10.1137/120902835","title":"Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes","display_name":"Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W2113393771","doi":"https://doi.org/10.1137/120902835","mag":"2113393771"},"language":"en","primary_location":{"id":"doi:10.1137/120902835","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120902835","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/11311/663112","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5063463468","display_name":"Fulvia Confortola","orcid":"https://orcid.org/0000-0003-0854-4662"},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Fulvia Confortola","raw_affiliation_strings":["Politecnico di Milano, Dipartimento di Matematica piazza Leonardo da Vinci 32, 20133 Milano, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Politecnico di Milano, Dipartimento di Matematica piazza Leonardo da Vinci 32, 20133 Milano, Italy","institution_ids":["https://openalex.org/I93860229"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5004737909","display_name":"Marco Fuhrman","orcid":"https://orcid.org/0000-0002-9325-7053"},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Marco Fuhrman","raw_affiliation_strings":["Politecnico di Milano, Dipartimento di Matematica piazza Leonardo da Vinci 32, 20133 Milano, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Politecnico di Milano, Dipartimento di Matematica piazza Leonardo da Vinci 32, 20133 Milano, Italy","institution_ids":["https://openalex.org/I93860229"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I93860229"],"apc_list":null,"apc_paid":null,"fwci":5.6259,"has_fulltext":true,"cited_by_count":32,"citation_normalized_percentile":{"value":0.9589362,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"51","issue":"5","first_page":"3592","last_page":"3623"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11829","display_name":"Mathematical Biology Tumor Growth","score":0.9847000241279602,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9793999791145325,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8707488775253296},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.717786431312561},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6833169460296631},{"id":"https://openalex.org/keywords/countable-set","display_name":"Countable set","score":0.668861448764801},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.574912965297699},{"id":"https://openalex.org/keywords/class","display_name":"Class (philosophy)","score":0.5406605005264282},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5154372453689575},{"id":"https://openalex.org/keywords/type","display_name":"Type (biology)","score":0.5007550716400146},{"id":"https://openalex.org/keywords/state-space","display_name":"State space","score":0.48764052987098694},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.4850586950778961},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.4549424946308136},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.44135016202926636},{"id":"https://openalex.org/keywords/point-process","display_name":"Point process","score":0.43917790055274963},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.43203669786453247},{"id":"https://openalex.org/keywords/random-measure","display_name":"Random measure","score":0.4297972023487091},{"id":"https://openalex.org/keywords/space","display_name":"Space (punctuation)","score":0.4120541214942932},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.41132885217666626},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.2933332920074463},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.24137988686561584},{"id":"https://openalex.org/keywords/probability-measure","display_name":"Probability measure","score":0.21223077178001404},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.09022849798202515}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8707488775253296},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.717786431312561},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6833169460296631},{"id":"https://openalex.org/C110729354","wikidata":"https://www.wikidata.org/wiki/Q185478","display_name":"Countable set","level":2,"score":0.668861448764801},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.574912965297699},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.5406605005264282},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5154372453689575},{"id":"https://openalex.org/C2777299769","wikidata":"https://www.wikidata.org/wiki/Q3707858","display_name":"Type (biology)","level":2,"score":0.5007550716400146},{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.48764052987098694},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.4850586950778961},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.4549424946308136},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.44135016202926636},{"id":"https://openalex.org/C88871306","wikidata":"https://www.wikidata.org/wiki/Q7208287","display_name":"Point process","level":2,"score":0.43917790055274963},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.43203669786453247},{"id":"https://openalex.org/C205301714","wikidata":"https://www.wikidata.org/wiki/Q228249","display_name":"Random measure","level":3,"score":0.4297972023487091},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.4120541214942932},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.41132885217666626},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.2933332920074463},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.24137988686561584},{"id":"https://openalex.org/C21031990","wikidata":"https://www.wikidata.org/wiki/Q355020","display_name":"Probability measure","level":2,"score":0.21223077178001404},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.09022849798202515},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/120902835","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120902835","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:re.public.polimi.it:11311/663112","is_oa":true,"landing_page_url":"http://hdl.handle.net/11311/663112","pdf_url":"http://hdl.handle.net/11311/663112","source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:re.public.polimi.it:11311/663112","is_oa":true,"landing_page_url":"http://hdl.handle.net/11311/663112","pdf_url":"http://hdl.handle.net/11311/663112","source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2113393771.pdf","grobid_xml":"https://content.openalex.org/works/W2113393771.grobid-xml"},"referenced_works_count":19,"referenced_works":["https://openalex.org/W165318734","https://openalex.org/W1970805552","https://openalex.org/W1976735106","https://openalex.org/W1995168893","https://openalex.org/W2004191028","https://openalex.org/W2060134762","https://openalex.org/W2060171102","https://openalex.org/W2060878939","https://openalex.org/W2075358340","https://openalex.org/W2078895915","https://openalex.org/W2086139156","https://openalex.org/W2088778665","https://openalex.org/W2108263811","https://openalex.org/W2149707114","https://openalex.org/W2157883119","https://openalex.org/W2166451400","https://openalex.org/W3101925067","https://openalex.org/W3102223611","https://openalex.org/W4247603176"],"related_works":["https://openalex.org/W2009349809","https://openalex.org/W3048549205","https://openalex.org/W4306892756","https://openalex.org/W2951144883","https://openalex.org/W2173570290","https://openalex.org/W4386272992","https://openalex.org/W4389568284","https://openalex.org/W1485248950","https://openalex.org/W3153900688","https://openalex.org/W3089300597"],"abstract_inverted_index":{"We":[0,37],"study":[1],"a":[2,12,18,73,101],"class":[3,84],"of":[4,31,46,60,79,85,116],"backward":[5,80],"stochastic":[6,77],"differential":[7],"equations":[8],"(BSDEs)":[9],"driven":[10],"by":[11,17,114],"random":[13],"measure":[14],"or,":[15],"equivalently,":[16],"marked":[19],"point":[20,44],"process.":[21],"Under":[22],"appropriate":[23],"assumptions":[24],"we":[25,71,96],"prove":[26,58],"well-posedness":[27],"and":[28,50,64,78,110],"continuous":[29],"dependence":[30],"the":[32,35,67,89,106,117],"solution":[33,103],"on":[34],"data.":[36],"next":[38],"address":[39],"optimal":[40,62],"control":[41,63,86],"problems":[42],"for":[43,82],"processes":[45],"general":[47],"non-Markovian":[48],"type":[49],"show":[51,97],"that":[52,98],"BSDEs":[53,118],"can":[54,111],"be":[55,112],"used":[56],"to":[57,65],"existence":[59],"an":[61],"represent":[66],"value":[68,108],"function.":[69],"Finally":[70],"introduce":[72],"Hamilton--Jacobi--Bellman":[74],"equation,":[75],"also":[76],"type,":[81],"this":[83],"problems:":[87],"when":[88],"state":[90],"space":[91],"is":[92],"finite":[93],"or":[94],"countable":[95],"it":[99],"admits":[100],"unique":[102],"which":[104],"identifies":[105],"(random)":[107],"function":[109],"represented":[113],"means":[115],"introduced":[119],"above.":[120]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":8},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}
