Maximum principle for general controlled systems driven by fractional Brownian motions

DOI10.1007/S00245-012-9188-7zbMath1270.49021arXiv1203.3182OpenAlexW1995561094WikidataQ57612064 ScholiaQ57612064MaRDI QIDQ358622

Jian Song, Yuecai Han, Yaozhong Hu

Publication date: 9 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.3182

zbMATH Keywords

maximum principlestochastic optimal controlMalliavin calculusfractional Brownian motionsbackward stochastic differential equationscontrolled stochastic differential systemspartial information stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45)

Related Items (15)

Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions ⋮ Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application ⋮ Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem ⋮ Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process ⋮ Stochastic controls of fractional Brownian motion ⋮ Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion ⋮ Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion ⋮ Discrete subdiffusion equations with memory ⋮ A stochastic maximum principle for general controlled systems driven by fractional Brownian motions ⋮ Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions ⋮ A general maximum principle for discrete fractional stochastic control system of mean-field type ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ A maximum principle for discrete delayed stochastic control system driven by fractional noise ⋮ Maximum principle of discrete stochastic control system driven by both fractional noise and white noise

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