BSDEs driven by time-changed Levy noises and optimal control

被引：11

作者：

Di Nunno, Giulia ^{[1
,2
]}

Sjursen, Steffen ^{[1
]}

机构：

[1] Univ Oslo, Ctr Math Applicat, N-0316 Oslo, Norway

[2] Norwegian Sch Econ & Business Adm, N-5045 Bergen, Norway

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 04期

基金：

欧洲研究理事会;

关键词：

BSDE; Time-change; Maximum principle; Doubly stochastic Poisson process; Conditionally independent increments; STOCHASTIC DIFFERENTIAL-EQUATIONS; UTILITY MAXIMIZATION; VOLATILITY; OPTIONS;

D O I：

10.1016/j.spa.2013.12.010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study backward stochastic differential equations (BSDEs) for time-changed Levy noises when the time-change is independent of the Levy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for linear BSDEs and a comparison principle. BSDEs naturally appear in control problems. Here we prove a sufficient maximum principle for a general optimal control problem of a system driven by a time-changed Levy noise. As an illustration we solve the mean variance portfolio selection problem. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：1679 / 1709

页数：31

共 45 条

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