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

Malliavin calculusfractional Brownian motionstochastic controlstochastic maximum principle

Mathematics Subject Classification ID

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

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Cited in

(14)

• Maximum principle for general controlled systems driven by fractional Brownian motions
• Stochastic maximum principle for stochastic differential equations driven by fractional Brownian motion with jumps
• Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
• Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
• Stochastic linear quadratic optimal control problem for systems driven by fractional Brownian motions
• Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• 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
• Maximum principle for controlled fractional Fokker-Planck equations
• Controlling the solution of stochastic differential equations on a plane with additive fractional Brownian motion
• Second‐order necessary optimality conditions for discrete‐time stochastic systems
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• Stochastic controls of fractional Brownian motion

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