Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
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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)
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