A stochastic maximum principle for general controlled systems driven by fractional Brownian motions

DOI10.1016/J.JMAA.2020.124854MaRDI QIDQ1996147zbMATH OpenOpenAlexFDO

Authors Yifang Sun

Publication date 3 March 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2020.124854

zbMATH Keywords

fractional Brownian motionMalliavin calculusstochastic controlstochastic maximum principle

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic systems in control theory (general) (93E03)

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Cited in

(19)

• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Controlling the solution of stochastic differential equations on a plane with additive fractional Brownian motion
• Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application
• Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
• Stochastic maximum principle for stochastic differential equations driven by fractional Brownian motion with jumps
• Maximum principle for controlled fractional Fokker-Planck equations
• Maximum principle for general controlled systems driven by fractional Brownian motions
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• Stochastic linear quadratic optimal control problem for systems driven by fractional Brownian motions
• Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
• Stochastic controls of fractional Brownian motion
• Second‐order necessary optimality conditions for discrete‐time stochastic systems
• Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
• The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
• A stochastic maximum principle for general controlled systems driven by mixed Brownian motions
• Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations
• Maximum principle for stochastic partial differential system with fractional Brownian motion
• The stochastic maximum principle for optimal control problem of jump-diffusion systems with fractional Brownian motion
• Robustness of optimal controlled diffusions with near-Brownian noise via rough paths theory

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