Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155537 | Stochastic Processes and their Applications | 2014 | 31 Pages |
Abstract
We study backward stochastic differential equations (BSDEs) for time-changed Lévy noises when the time-change is independent of the Lévy 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 Lévy noise. As an illustration we solve the mean–variance portfolio selection problem.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Giulia Di Nunno, Steffen Sjursen,