Stochastic control for BSDEs and ABSDEs with Markov chain noises. Issue 9 (1st September 2020)

• Record Type: Journal Article
• Authors: Yang, Zhe; Elliott, Robert J.
• Is Part Of: International journal of control. Volume 93:Issue 9(2020)
• Page Start: 2029
• Page End: 2042
• Publication Date: 2020-09-01
• Subjects: Duality between SDEs and BSDEs -- Markov chain noise -- duality between SDDEs and anticipated BSDEs -- stochastic control; Automatic control -- Periodicals; Electronic journals; 629.8
• DOI: 10.1080/00207179.2018.1539874
• Languages: English
• ISSNs: 0020-7179

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.