Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises
Probability
2025-12-23 v1
Abstract
In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a comparison theorem are obtained. In our discrete time setting, adjoint processes are provided by backward stochastic difference equations. Technical results from partial differential equation theory to establish a verification theorem are not required.
Keywords
Cite
@article{arxiv.2512.18218,
title = {Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises},
author = {Robert J. Elliott and Zhe Yang},
journal= {arXiv preprint arXiv:2512.18218},
year = {2025}
}
Comments
11 pages