Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion (Q477274)
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| Language | Label | Description | Also known as |
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| English | Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion |
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Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion (English)
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3 December 2014
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Consider a stochastic control problem involving a controlled state process driven by both a standard Brownian motion and a fractional Brownian motion; hence, the diffusion term consists of two parts. Using an anticipative Girsanov transformation, the system is transformed into a related system driven only by a standard Brownian motion having coefficients depending on both the fractional Brownian motion and the standard one. Then, a stochastic maximum principle is derived as well as the associated variational inequality.
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fractional Brownian motion
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stochastic control system
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backward stochastic differential equation
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variational inequality
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maximum principle
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Girsanov transformation
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Galtchouk-Kunita-Watanabe decomposition
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