BSDEs driven by time-changed Lévy noises and optimal control

DOI10.1016/J.SPA.2013.12.010zbMATH Open1282.60056OpenAlexW2058818786MaRDI QIDQ2436795FDOQ2436795

Authors Giulia Di Nunno, Steffen Sjursen 

Publication date 26 February 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.5120

zbMATH Keywords

maximum principledoubly stochastic Poisson processtime-changeBSDEconditionally independent increments

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Abstract: We study backward stochastic differential equations (BSDEs) for time-changed L'evy noises when the time-change is independent of the L'evy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for linear BSDEs and a comparison principle. BSDEs naturally appear in control problems. Here we prove a sufficient maximum principle for a general optimal control problem of a system driven by a time-changed L'evy noise. As an illustration we solve the mean-variance portfolio selection problem.

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Cited in

(15)

• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• A maximum principle for mean-field SDEs with time change
• Stochastic Volterra equations with time-changed L\'evy noise and maximum principles
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• A time-changed stochastic control problem and its maximum principle maximum principle
• Mean-field anticipated BSDEs driven by time-changed Lévy noises
• Applications of anticipated BSDEs driven by time-changing Lévy noises
• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• Anticipated BSDEs driven by time-changed Lévy noises
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
• BSDEs with monotone generator driven by time-changed Lévy noises
• On stochastic control for time changed Lévy dynamics
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Stochastic optimal control and BSDEs with logarithmic growth
• Solving discrete first-order matrix linear control problems with general parametric uncertainties: a probability-density-based approach

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