Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application (Q2660769)
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scientific article; zbMATH DE number 7330131
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| English | Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application |
scientific article; zbMATH DE number 7330131 |
Statements
Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application (English)
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31 March 2021
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fractional Brownian motion
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standard Wiener motion
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Doss-Sussmann transformation
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Malliavin derivative
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maximum principle
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stochastic optimal control
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variational inequality
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0.9136860370635986
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0.9014940857887268
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0.8989740014076233
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0.8918768763542175
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0.8473212718963623
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