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Représentation probabiliste d'équations HJB pour le contrôle optimal de processus à sauts, EDSR (équations différentielles stochastiques rétrogrades) et calcul stochastique.

Abstract : In the present document we treat three different topics related to stochastic optimal control and stochastic calculus, pivoting on thenotion of backward stochastic differential equation (BSDE) driven by a random measure.After a general introduction, the three first chapters of the thesis deal with optimal control for different classes of non-diffusiveMarkov processes, in finite or infinite horizon. In each case, the value function, which is the unique solution to anintegro-differential Hamilton-Jacobi-Bellman (HJB) equation, is probabilistically represented as the unique solution of asuitable BSDE. In the first chapter we control a class of semi-Markov processes on finite horizon; the second chapter isdevoted to the optimal control of pure jump Markov processes, while in the third chapter we consider the case of controlled piecewisedeterministic Markov processes (PDMPs) on infinite horizon. In the second and third chapters the HJB equations associatedto the optimal control problems are fully nonlinear. Those situations arise when the laws of the controlled processes arenot absolutely continuous with respect to the law of a given, uncontrolled, process. Since the corresponding HJB equationsare fully nonlinear, they cannot be represented by classical BSDEs. In these cases we have obtained nonlinear Feynman-Kacrepresentation formulae by generalizing the control randomization method introduced in Kharroubi and Pham (2015)for classical diffusions. This approach allows us to relate the value function with a BSDE driven by a random measure,whose solution hasa sign constraint on one of its components.Moreover, the value function of the original non-dominated control problem turns out to coincide withthe value function of an auxiliary dominated control problem, expressed in terms of equivalent changes of probability measures.In the fourth chapter we study a backward stochastic differential equation on finite horizon driven by an integer-valued randommeasure μ on ℝ+ x E, where E is a Lusin space, with compensator v(dt,dx)=dAt φ(dx). The generator of thisequation satisfies a uniform Lipschitz condition with respect to the unknown processes.In the literature, well-posedness results for BSDEs in this general setting have only been established when A is continuous or deterministic. We provide an existence and uniqueness theorem for the general case, i.e. when A is a right-continuous nondecreasing predictable process. Those results are relevant, for example, in the frameworkof control problems related to PDMPs. Indeed, when μ is the jump measure of a PDMP on a bounded domain, then A is predictable and discontinuous.Finally, in the two last chapters of the thesis we deal with stochastic calculus for general discontinuous processes.In the fifth chapter we systematically develop stochastic calculus via regularization in the case of jump processes,and we carry on the investigations of the so-called weak Dirichlet processes in the discontinuous case.Such a process X is the sum of a local martingale and an adapted process A such that [N,A] = 0, for any continuouslocal martingale N.Given a function u:[0,T] x ℝ → R, which is of class C⁰′¹ (or sometimes less), we provide a chain rule type expansion for u(t, Xt), which constitutes a generalization of Itô's lemma being valid when u is of class C¹′².This calculus is applied in the sixth chapter to the theory of BSDEs driven by random measures.In several situations, when the underlying forward process X is a special semimartingale, or, even more generally,a special weak Dirichlet process,we identify the solutions (Y,Z,U) of the considered BSDEs via the process X and the solution u to an associated integro PDE.
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Submitted on : Friday, August 26, 2016 - 1:59:09 PM
Last modification on : Thursday, July 23, 2020 - 3:14:25 PM


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Elena Bandini. Représentation probabiliste d'équations HJB pour le contrôle optimal de processus à sauts, EDSR (équations différentielles stochastiques rétrogrades) et calcul stochastique.. Probabilités [math.PR]. Université Paris Saclay (COmUE); Politecnico di Milano. Dipartimento di mathematica (Milano, Italie), 2016. Français. ⟨NNT : 2016SACLY005⟩. ⟨tel-01356762⟩



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