On stochastic control for time changed Lévy dynamics

DOI10.1007/s40324-022-00301-5zbMath1498.49065OpenAlexW4283697628MaRDI QIDQ2089015

Giulia Di Nunno

Publication date: 6 October 2022

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40324-022-00301-5

zbMATH Keywords

optimal controlmaximum principlepartial informationtime changeVolterra equationsstochastic derivativeforward-backward systemsstochastic backward differential equations

Mathematics Subject Classification ID

Random fields (60G60) Differential games and control (49N70) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20) Utility theory for games (91A30)

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