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arXiv · 2605.12035

Stochastic control with self-exciting processes

Heidar Eyjolfsson·Kristina Rognlien Dahl
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Abstract

We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a sufficient stochastic maximum principle under this framework. We also derive an expression via martingales of both the self-exciting process and its quadratic covariation. Furthermore, we derive a necessary maximum (equivalence principle) for the self-exciting stochastic control problem. Finally, we look at an application to log-utility.

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Heidar Eyjolfsson, Kristina Rognlien Dahl. 2026-05-12. Stochastic control with self-exciting processes. https://arxiv.org/abs/2605.12035

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