Time-changed Stochastic Control Problem and its Maximum Principle Theory

Erkan Nane; Yinan Ni

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arXiv · 1905.11921

Time-changed Stochastic Control Problem and its Maximum Principle Theory

Erkan Nane·Yinan Ni

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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.

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Erkan Nane, Yinan Ni. 2019-05-28. Time-changed Stochastic Control Problem and its Maximum Principle Theory. https://arxiv.org/abs/1905.11921

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