Optimal control problem with an integral equation as the control object

DOI10.1016/j.na.2009.08.008zbMath1190.49033OpenAlexW2085610670MaRDI QIDQ2653948

Darya Filatova, Marek Grzywaczewski, Nikolaĭ P. Osmolovskiĭ

Publication date: 15 January 2010

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.08.008

zbMATH Keywords

maximum principleintegral equationnumerical solutionadjoint equationportfolio selection problemcontrol constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10) Optimality conditions for problems involving relations other than differential equations (49K21)

Related Items

Necessary conditions for a weak minimum in a general optimal control problem with integral equations on a variable time interval ⋮ An extended formulation of calculus of variations for incommensurate fractional derivatives with fractional performance index ⋮ Fractional variational calculus for nondifferentiable functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Modeling with Itô Stochastic Differential Equations
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION