{"paper":{"title":"BSDEs driven by time-changed L\\'evy noises and optimal control","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Giulia Di Nunno, Steffen Sjursen","submitted_at":"2013-12-18T12:57:51Z","abstract_excerpt":"We study backward stochastic differential equations (BSDEs) for time-changed L\\'evy noises when the time-change is independent of the L\\'evy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for linear BSDEs and a comparison principle. BSDEs naturally appear in control problems. Here we prove a sufficient maximum principle for a general optimal control problem of a system driven by a time-changed L\\'evy noise. As an illustration we solve the mean-variance portfolio selection problem."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1312.5120","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}