Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes

Yuyang Ye; Yunzhang Li; Shanjian Tang

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arXiv · 2409.07052

Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes

Yuyang Ye·Yunzhang Li·Shanjian Tang

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Abstract

In this paper, we study the Cauchy problem for backward stochastic partial differential equations (BSPDEs) involving fractional Laplacian operator. Firstly, by employing the martingale representation theorem and the fractional heat kernel, we construct an explicit form of the solution for fractional BSPDEs with space invariant coefficients, thereby demonstrating the existence and uniqueness of strong solution. Then utilizing the freezing coefficients method as well as the continuation method, we establish Hölder estimates and well-posedness for general fractional BSPDEs with coefficients dependent on space-time variables. As an application, we use the fractional adjoint BSPDEs to investigate stochastic optimal control of the partially observed systems driven by $α$-stable Lévy processes.

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BibTeX RIS

Yuyang Ye, Yunzhang Li, Shanjian Tang. 2024-09-11. Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes. https://arxiv.org/abs/2409.07052

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