| dc.date.accessioned | 2013-03-12T08:16:38Z | |
| dc.date.available | 2013-03-12T08:16:38Z | |
| dc.date.issued | 2013 | en_US |
| dc.date.submitted | 2013-03-01 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/34919 | |
| dc.description.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.<br><br>
Revised edition. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | BSDES DRIVEN BY TIME-CHANGED LÉVY NOISES AND OPTIMAL CONTROL | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2013-03-01 | en_US |
| dc.rights.holder | Copyright 2013 The Author(s) | |
| dc.creator.author | Sjursen, Steffen A. Søreide | en_US |
| dc.creator.author | Di Nunno, Giulia | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.cristin | 1010491 | en_US |
| dc.identifier.urn | URN:NBN:no-35676 | |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 176921 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/34919/2/revidert-dspp-bsde-preprint.pdf | |