{
  "id": "1312.5120",
  "version": "v1",
  "published": "2013-12-18T12:57:51.000Z",
  "updated": "2013-12-18T12:57:51.000Z",
  "title": "BSDEs driven by time-changed Lévy noises and optimal control",
  "authors": [
    "Giulia Di Nunno",
    "Steffen Sjursen"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We study backward stochastic differential equations (BSDEs) for time-changed L\\'evy noises when the time-change is independent of the L\\'evy 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 L\\'evy noise. As an illustration we solve the mean-variance portfolio selection problem.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-12-18T12:57:51.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "time-changed lévy noises",
      "bsdes driven",
      "time-changed levy noise",
      "mean-variance portfolio selection problem",
      "study backward stochastic differential equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1312.5120D"
    }
  }
}