2 papers
math.PR2019
Time-changed Stochastic Control Problem and its Maximum Principle Theory
Erkan Nane, Yinan Ni
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a Lévy noise time-changed by an inverse subordinator. We establish a maximu…
math.PR2016
Stability of stochastic differential equation driven by time-changed Lévy noise
Erkan Nane, Yinan Ni
This paper studies stabilities of stochastic differential equation (SDE) driven by time-changed Lévy noise in both probability and moment sense. This provides more flexibility in m…