International Journal of Control, Vol.93, No.9, 2029-2042, 2020
Stochastic control for BSDEs and ABSDEs with Markov chain noises
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.
Keywords:Duality between SDEs and BSDEs;Markov chain noise;duality between SDDEs and anticipated BSDEs;stochastic control