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| Format: | Preprint |
| Veröffentlicht: |
2025
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| Online-Zugang: | https://arxiv.org/abs/2512.18218 |
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| _version_ | 1866912779586240512 |
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| author | Elliott, Robert J. Yang, Zhe |
| author_facet | Elliott, Robert J. Yang, Zhe |
| contents | In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a comparison theorem are obtained. In our discrete time setting, adjoint processes are provided by backward stochastic difference equations. Technical results from partial differential equation theory to establish a verification theorem are not required. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_18218 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises Elliott, Robert J. Yang, Zhe Probability In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a comparison theorem are obtained. In our discrete time setting, adjoint processes are provided by backward stochastic difference equations. Technical results from partial differential equation theory to establish a verification theorem are not required. |
| title | Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises |
| topic | Probability |
| url | https://arxiv.org/abs/2512.18218 |