BSDES DRIVEN BY TIME-CHANGED LÉVY NOISES AND OPTIMAL CONTROL
Research report
Year
2013Permanent link
http://urn.nb.no/CRIStin
1010491Is part of
Preprint series. Pure mathematicsMetadata
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- Matematisk institutt [3781]
Abstract
We study backward stochastic differential equations (BSDE's) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness of the solutions. Explicit formulae for linear BSDE's and a comparison principle are obtained. We apply these results to prove a suffcent verification theorem for an optimal control problem of a system driven by a time-changed Lévy noise.Revised edition.