BSDEs driven by time-changed Lévy noises and optimal control

DOI10.1016/J.SPA.2013.12.010zbMATH Open1282.60056arXiv1312.5120OpenAlexW2058818786MaRDI QIDQ2436795FDOQ2436795

Authors: Giulia Di Nunno, Steffen Sjursen 

Publication date: 26 February 2014

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

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.

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

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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)

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Cited In (13)

• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• BSDEs with monotone generator driven by time-changed Lévy noises
• A maximum principle for mean-field SDEs with time change
• 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
• On stochastic control for time changed Lévy dynamics
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Mean-field anticipated BSDEs driven by time-changed Lévy noises
• Anticipated BSDEs driven by time-changed Lévy noises
• Applications of anticipated BSDEs driven by time-changing Lévy noises

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