Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises
Fuente:
arXiv
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912779586240512 |
|---|---|
| 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 |