OPTIMAL CONTROL FOR ROUGH DIFFERENTIAL EQUATIONS

DOI10.1142/S021949370800224XzbMATH Open1191.49004arXivmath/0606030MaRDI QIDQ3520439FDOQ3520439

Authors: Laurent Mazliak, Ivan Nourdin 

Publication date: 26 August 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: In this note, we consider an optimal control problem associated to a differential equation driven by a H"{o}lder continuous function g of index greater than 1/2. We split our study in two cases. If the coefficient of dg_t does not depend on the control process, we prove an existence theorem for a slightly generalized control problem, that is we obtain a literal extension of the corresponding deterministic situation. If the coefficient of dg_t depends on the control process, we also prove an existence theorem but we are here obliged to restrict the set of controls to sufficiently regular functions.

Full work available at URL: https://arxiv.org/abs/math/0606030

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zbMATH Keywords

optimal controlrough differential equationsYoung integralDoss-Sussmann's method

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Integrals of Riemann, Stieltjes and Lebesgue type (26A42)

Cites Work

• Controlling rough paths
• An inequality of the Hölder type, connected with Stieltjes integration
• Title not available (Why is that?)
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
• Correcting Newton-Côtes integrals by Lévy areas

Cited In (4)

• The optimal control of nonlinear diffusion equations with rough initial data
• Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
• Stochastic control with rough paths
• Title not available (Why is that?)

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