Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion (Q477274)

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.