BSDES DRIVEN BY TIME-CHANGED LÉVY NOISES AND OPTIMAL CONTROL
Appears in the following Collection
- Matematisk institutt 
AbstractWe study backward stochastic differential equations (BSDE's) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness of the solutions. Explicit formulae for linear BSDE's and a comparison principle are obtained. We apply these results to prove a suffcent verification theorem for an optimal control problem of a system driven by a time-changed Lévy noise.