A time-changed stochastic control problem and its maximum principle

• Autorzy: Nane Erkan , Ni Yinan

Identyfikatory

DOI

10.37190/0208-4147.41.2.1

• Języki publikacji: EN

Abstrakty

EN

This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a Lévy noise time-changed by an inverse subordinator. We establish a maximum principle for the time-changed stochastic control problem. We also prove the existence and uniqueness of the corresponding time-changed backward stochastic differ- ential equation involved in the stochastic control problem. Some examples are provided for illustration.

Słowa kluczowe

EN

optimal stochastic control; time-changed Lévy process; maximum principle

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2021
• Tom: Vol. 41, Fasc. 2
• Strony: 193--215
• Opis fizyczny: Bibliogr.17 poz., wykr.

Twórcy

autor

Nane Erkan

• Auburn University 221 Parker Hall Auburn, AL 36849, U.S.A

autor

Ni Yinan

• Lewis University One University Parkway Romeoville, IL 60446, U.S.A

Bibliografia

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