BSDEs driven by time-changed Levy noises and optimal control

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Di Nunno, Giulia^1,2  Sjursen, Steffen¹ 

[1] Univ Oslo, Ctr Math Applicat, N-0316 Oslo, Norway

[2] Norwegian Sch Econ & Business Adm, N-5045 Bergen, Norway

关键词: BSDE;    Time-change;    Maximum principle;    Doubly stochastic Poisson process;    Conditionally independent increments;   

DOI  :  10.1016/j.spa.2013.12.010

来源: Elsevier

【 摘 要 】

We study backward stochastic differential equations (BSDEs) for time-changed Levy noises when the time-change is independent of the Levy 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 Levy noise. As an illustration we solve the mean variance portfolio selection problem. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free