A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
DOI10.1016/J.JMAA.2020.124854zbMATH Open1458.93239OpenAlexW3112606586MaRDI QIDQ1996147FDOQ1996147
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
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Cited In (8)
- Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
- 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
- Controlling the solution of stochastic differential equations on a plane with additive 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 processes driven by fractional Brownian motion.
- Second‐order necessary optimality conditions for discrete‐time stochastic systems
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