Stochastic control with self-exciting processes
Optimization and Control
2026-05-13 v1 Probability
Abstract
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a sufficient stochastic maximum principle under this framework. We also derive an expression via martingales of both the self-exciting process and its quadratic covariation. Furthermore, we derive a necessary maximum (equivalence principle) for the self-exciting stochastic control problem. Finally, we look at an application to log-utility.
Cite
@article{arxiv.2605.12035,
title = {Stochastic control with self-exciting processes},
author = {Heidar Eyjolfsson and Kristina Rognlien Dahl},
journal= {arXiv preprint arXiv:2605.12035},
year = {2026}
}