Stochastic control based on time-change transformations for stochastic processes with Lévy noise
Анотація
We propose a new method of stochastic control for stochastic processes with Lévy noise based on time-change transformations. Applying this method, we prove that the integral minorization condition holds for Markov processes defined by stochastic equations with Lévy noise and obtain the explicit estimates for the rate of convergence in the ergodic theorem.
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