On stochastic control for time changed Lévy dynamics

DOI10.1007/S40324-022-00301-5zbMATH Open1498.49065OpenAlexW4283697628MaRDI QIDQ2089015FDOQ2089015

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

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maximum principle optimal control partial information Volterra equations time change stochastic derivative forward-backward systems stochastic backward differential equations

Mathematics Subject Classification ID

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

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Cited In (5)

Stochastic Volterra equations with time-changed L\'evy noise and maximum principles
A time-changed stochastic control problem and its maximum principle maximum principle
Solving discrete first-order matrix linear control problems with general parametric uncertainties: a probability-density-based approach
Stochastic control based on time-change transformations for stochastic processes with Lévy noise
Reflections on BSDEs

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