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.
Acknowledgements
The authors gratefully acknowledge the help from Prof. Samuel N. Cohen.
Disclosure statement
No potential conflict of interest was reported by the authors.