UNIVERSITY
OF WROCŁAW
 
Main Page
Contents
Online First
General Information
Instructions for authors


VOLUMES
44.1 43.2 43.1 42.2 42.1 41.2 41.1
40.2 40.1 39.2 39.1 38.2 38.1 37.2
37.1 36.2 36.1 35.2 35.1 34.2 34.1
33.2 33.1 32.2 32.1 31.2 31.1 30.2
30.1 29.2 29.1 28.2 28.1 27.2 27.1
26.2 26.1 25.2 25.1 24.2 24.1 23.2
23.1 22.2 22.1 21.2 21.1 20.2 20.1
19.2 19.1 18.2 18.1 17.2 17.1 16.2
16.1 15 14.2 14.1 13.2 13.1 12.2
12.1 11.2 11.1 10.2 10.1 9.2 9.1
8 7.2 7.1 6.2 6.1 5.2 5.1
4.2 4.1 3.2 3.1 2.2 2.1 1.2
1.1
 
 
WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 41, Fasc. 2,
pages 193 - 215
DOI: 10.37190/0208-4147.41.2.1
Published online 19.8.2021
 

A time-changed stochastic control problem and its maximum principle maximum principle

Erkan Nane
Yinan Ni

Abstract:

This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a Lévy noise time-changed by an inverse subordinator. We establish a maximum principle 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.

2010 AMS Mathematics Subject Classification: Primary 93E20, 39A50, 60H05;

Keywords and phrases: optimal stochastic control, time-changed L\'evy process, maximum principle

Download:    Abstract    Full text   Abstract + References