OPTIMAL CONTROL FOR ROUGH DIFFERENTIAL EQUATIONS

DOI10.1142/S021949370800224XMaRDI QIDQ3520439zbMATH OpenFDO

Authors Laurent Mazliak, Ivan Nourdin

Publication date 26 August 2008

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3283642 (Why is no real title available?)
• An inequality of the Hölder type, connected with Stieltjes integration
• Controlling rough paths
• Correcting Newton-Côtes integrals by Lévy areas
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

Cited in

(4)

• Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
• Stochastic control with rough paths
• The optimal control of nonlinear diffusion equations with rough initial data
• scientific article; zbMATH DE number 972615 (Why is no real title available?)

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