Maximum principle for general controlled systems driven by fractional Brownian motions

DOI10.1007/s00245-012-9188-7zbMath1270.49021arXiv1203.3182OpenAlexW1995561094WikidataQ57612064 ScholiaQ57612064MaRDI QIDQ358622

Jian Song, Yuecai Han, Yaozhong Hu

Publication date: 9 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.3182

zbMATH Keywords

maximum principlestochastic optimal controlMalliavin calculusfractional Brownian motionsbackward stochastic differential equationscontrolled stochastic differential systemspartial information stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45)

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