Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function

DOI10.1007/BF02831970zbMath1111.49014MaRDI QIDQ874339

Guy Jumaric

Publication date: 5 April 2007

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

zbMATH Keywords

Mittag-Leffler functionoptimal controlHamilton-Jacobi equationfractional derivativedynamical programmingfractional partial differential equationfractional Taylor's series

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Self-similar stochastic processes (60G18) Optimality conditions for problems involving ordinary differential equations (49K15)

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Cites Work

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• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic differential equations with fractional Brownian motion input
• Fractional Brownian Motions, Fractional Noises and Applications
• Taylor’s Series Generalized for Fractional Derivatives and Applications

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