Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application

DOI10.1515/ROSE-2020-2047MaRDI QIDQ2660769zbMATH OpenOpenAlexFDO

Authors Tayeb Bouaziz, Adel Chala

Publication date 31 March 2021

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2020-2047

zbMATH Keywords

Doss-Sussmann transformationfractional Brownian motionMalliavin derivativemaximum principlestandard Wiener motionstochastic optimal controlvariational inequality

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimal stochastic control (93E20)

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Cites work

• A stochastic maximum principle for processes driven by fractional Brownian motion.
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward Stochastic Differential Equations in Finance
• Forward, backward and symmetric stochastic integration
• Integration with respect to fractal functions and stochastic calculus. I
• Integration with respect to fractal functions and stochastic calculus. II
• Maximum principle for general controlled systems driven by fractional Brownian motions
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• The generalized covariation process and Itô formula
• The Malliavin Calculus and Related Topics

Cited in

(4)

• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• 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 controls of fractional Brownian motion

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