Stochastic Volterra equations with time-changed Lévy noise and maximum principles

被引：0
作者：
Giulia di Nunno
Michele Giordano
机构：
[1] University of Oslo,Department of Mathematics
[2] NHH Norwegian School of Economics,Department of Business and Management Science
来源：
Annals of Operations Research | 2024年 / 336卷
关键词：
Time-change; Conditionally independent increments; Backward stochastic Volterra integral equation; Maximum principle; Stochastic Volterra equations; Non-anticipating stochastic derivative; 60H10; 60H20; 93E20; 60G60; 91B70;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed Lévy noises, which are in general not Markovian. To exploit the nature of the noise, we make use of different kind of information flows within a maximum principle approach. For this we work with backward stochastic differential equations (BSDE) with time-change and exploit the non-anticipating stochastic derivative introduced in Di Nunno and Eide (Stoch Anal Appl 28:54-85, 2009). We prove both a sufficient and necessary stochastic maximum principle.
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页码：1265 / 1287
页数：22
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