Abstract
ABSTRACT In this paper we discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a Markov chain. A duality between stochastic differential equations and backward stochastic differential equations is used, as well as a duality between stochastic differential delay equations and anticipated backward stochastic differential equations.The proof involves some delicate analysis to establish comparison results.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.