Optimal control problem with an integral equation as the control object

DOI10.1016/J.NA.2009.08.008MaRDI QIDQ2653948zbMATH OpenOpenAlexFDO

Authors Darya Filatova, Marek Grzywaczewski, Nikolai P. Osmolovskii

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

adjoint equationcontrol constraintintegral equationmaximum principlenumerical solutionportfolio selection problem

Mathematics Subject Classification ID

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

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Cites work

• A stochastic maximum principle for processes driven by fractional Brownian motion.
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• scientific article; zbMATH DE number 1218596 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 195044 (Why is no real title available?)
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• Modeling with Itô Stochastic Differential Equations
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION

Cited in

(3)

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

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