Stochastic control based on time-change transformations for stochastic processes with Lévy noise

DOI10.1090/S0094-9000-2013-00886-2zbMath1316.60088MaRDI QIDQ2922886

O. M. Kulik, S. V. Bodnarchuk

Publication date: 15 October 2014

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

stochastic controlstochastic equationLévy processtime-change transformations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

A method for checking efficiency of estimators in statistical models driven by Lévy’s noise

Cites Work

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• Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure
• Exponential ergodicity of the solutions to SDE's with a jump noise

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