dc.date.accessioned | 2024-03-13T23:04:50Z | |
dc.date.available | 2024-03-13T23:04:50Z | |
dc.date.created | 2023-04-26T14:33:10Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | Di Nunno, Giulia Giordano, Michele . Stochastic Volterra equations with time-changed Lévy noise and maximum principles. Annals of Operations Research. 2023 | |
dc.identifier.uri | http://hdl.handle.net/10852/109563 | |
dc.description.abstract | Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed Lévy noises, which are in general not Markovian. To exploit the nature of the noise, we make use of different kind of information flows within a maximum principle approach. For this we work with backward stochastic differential equations (BSDE) with time-change and exploit the non-anticipating stochastic derivative introduced in Di Nunno and Eide (Stoch Anal Appl 28:54-85, 2009). We prove both a sufficient and necessary stochastic maximum principle. | |
dc.description.abstract | Stochastic Volterra equations with time-changed Lévy noise and maximum principles | |
dc.language | EN | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | Stochastic Volterra equations with time-changed Lévy noise and maximum principles | |
dc.title.alternative | ENEngelskEnglishStochastic Volterra equations with time-changed Lévy noise and maximum principles | |
dc.type | Journal article | |
dc.creator.author | Di Nunno, Giulia | |
dc.creator.author | Giordano, Michele | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 2143557 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Annals of Operations Research&rft.volume=&rft.spage=&rft.date=2023 | |
dc.identifier.jtitle | Annals of Operations Research | |
dc.identifier.pagecount | 23 | |
dc.identifier.doi | https://doi.org/10.1007/s10479-023-05303-8 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0254-5330 | |
dc.type.version | PublishedVersion | |
dc.relation.project | NFR/274410 | |