Time-changed Stochastic Control Problem and its Maximum Principle Theory
Probability
2019-05-29 v1 Mathematical Physics
math.MP
Abstract
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control problem. We also prove the existence and uniqueness of the corresponding time-changed backward stochastic differential equation involved in the stochastic control problem. Some examples are provided for illustration.
Cite
@article{arxiv.1905.11921,
title = {Time-changed Stochastic Control Problem and its Maximum Principle Theory},
author = {Erkan Nane and Yinan Ni},
journal= {arXiv preprint arXiv:1905.11921},
year = {2019}
}
Comments
17 pages, submitted for publication