Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
From MaRDI portal
Publication:2800470
DOI10.1002/oca.2155zbMath1333.93266OpenAlexW1835087204MaRDI QIDQ2800470
Feng Chen, Fushan Huang, Qiuxi Wang
Publication date: 15 April 2016
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.2155
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
Related Items
An efficient approximate method for solving delay fractional optimal control problems, A new Legendre operational technique for delay fractional optimal control problems, Mean-field optimal control problem of SDDES driven by fractional Brownian Motion, Optimal controls for fractional stochastic functional differential equations of order \(\alpha \in (1, 2\)], Stochastic time-optimal control for time-fractional Ginzburg–Landau equation with mixed fractional Brownian motion, Approximation methods for solving fractional optimal control problems, Ritz approximate method for solving delay fractional optimal control problems
Cites Work
- Unnamed Item
- Maximum principle for general controlled systems driven by fractional Brownian motions
- Convergence of delay differential equations driven by fractional Brownian motion
- A new result on stability analysis for stochastic neutral systems
- Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
- Maximum principle for the stochastic optimal control problem with delay and application
- Theory of functional differential equations. 2nd ed
- Integration with respect to fractal functions and stochastic calculus. I
- Conjugate convex functions in optimal stochastic control
- Anticipated backward stochastic differential equations
- LQ control for Itô-type stochastic systems with input delays
- Controlled Markov processes and viscosity solutions
- An inequality of the Hölder type, connected with Stieltjes integration
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Integral transformations and anticipative calculus for fractional Brownian motions
- A General Stochastic Maximum Principle for Optimal Control Problems
- An Introductory Approach to Duality in Optimal Stochastic Control
- Stochastic analysis of fractional brownian motions
- OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic Control for Linear Systems Driven by Fractional Noises
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Fractional Brownian Motions, Fractional Noises and Applications