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dc.date.accessioned2013-03-12T08:16:38Z
dc.date.available2013-03-12T08:16:38Z
dc.date.issued2013en_US
dc.date.submitted2013-03-01en_US
dc.identifier.urihttp://hdl.handle.net/10852/34919
dc.description.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.<br><br> Revised edition.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleBSDES DRIVEN BY TIME-CHANGED LÉVY NOISES AND OPTIMAL CONTROLen_US
dc.typeResearch reporten_US
dc.date.updated2013-03-01en_US
dc.creator.authorSjursen, Steffen A. Søreideen_US
dc.creator.authorDi Nunno, Giuliaen_US
dc.subject.nsiVDP::410en_US
dc.identifier.cristin1010491en_US
dc.identifier.urnURN:NBN:no-35676
dc.type.documentForskningsrapporten_US
dc.identifier.duo176921en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/34919/2/revidert-dspp-bsde-preprint.pdf


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