On stochastic control for time changed Lévy dynamics
type: Item
instance of: scholarly article
title: On stochastic control for time changed Lévy dynamics
zbMATH Open document ID: 1498.49065
author: Giulia Di Nunno
published in: S\(\vec{\text{e}}\)MA Journal
publication date: 2022-10-06T00:00:00Z
Mathematics Subject Classification ID: 49N70
Mathematics Subject Classification ID: 91A30
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60H20
Mathematics Subject Classification ID: 60G60
zbMATH DE Number: 7597014
zbMATH Keywords: time change
zbMATH Keywords: Volterra equations
zbMATH Keywords: stochastic backward differential equations
zbMATH Keywords: forward-backward systems
zbMATH Keywords: optimal control
zbMATH Keywords: partial information
zbMATH Keywords: maximum principle
zbMATH Keywords: stochastic derivative
MaRDI profile type: Publication
full work available at URL: s40324-022-00301-5
OpenAlex ID: W4283697628
cites work: Malliavin calculus and optimal control of stochastic Volterra equations
cites work: A Hida–Malliavin white noise calculus approach to optimal control
cites work: New approach to optimal control of stochastic Volterra integral equations
cites work: Infinite-dimensional stochastic differential equations obtained by subordination and related Dirichlet forms.
cites work: On optimal control of forward-backward stochastic differential equations
cites work: Some recent developments in stochastic volatility modelling
cites work: Meta-Times and Extended Subordination
cites work: Change of Time and Change of Measure
cites work: Time Change, Volatility, and Turbulence
cites work: Integrability of multivariate subordinated Lévy processes in Hilbert space
cites work: Stochastic Volatility for Lévy Processes
cites work: Q4091204
cites work: On the Decomposition of Continuous Submartingales
cites work: Q4057386
cites work: Stochastic integral representations, stochastic derivatives and minimal variance hedging
cites work: Q4791820
cites work: Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach
cites work: Optimal portfolio, partial information and Malliavin calculus
cites work: Q5436602
cites work: On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process
cites work: BSDEs driven by time-changed Lévy noises and optimal control
cites work: ON CONTINUOUS MARTINGALES
cites work: Stochastic Differential Utility
cites work: Characterization of stochastic processes with conditionally independent increments
cites work: Q4197145
cites work: Foundations of Modern Probability
cites work: Q5493554
cites work: Q5592678
cites work: The Skorokhod embedding problem and its offspring
cites work: Applied stochastic control of jump diffusions
cites work: Existence and uniqueness results for BSDE with jumps: the whole nine yards
cites work: Volterra equations driven by semimartingales
cites work: Convex Analysis
cites work: On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
cites work: On the class of distributions of subordinated Lévy processes and bases
cites work: Processes with conditional stationary independent increments
cites work: Q4220653
cites work: Change of Time Methods in Quantitative Finance
cites work: Q5436621
DOI: 10.1007/S40324-022-00301-5
Recommended article: Stochastic control based on time-change transformations for stochastic processes with Lévy noise
Recommended article: Approximate controllability of stochastic differential systems driven by a Lévy process
Recommended article: Q6162705
Recommended article: BSDEs driven by time-changed Lévy noises and optimal control
Recommended article: On a class of singular stochastic control problems driven by Lévy noise
Recommended article: Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
Recommended article: Ergodic control for Lévy-driven linear stochastic equations in Hilbert spaces
Recommended article: Inverse optimal control of stochastic systems driven by Lévy processes
Recommended article: On time-inconsistent stochastic control in continuous time
Recommended article: Stochastic linear quadratic control problem on time scales
description: scientific article; zbMATH DE number 7597014