Maximum principle for general controlled systems driven by fractional Brownian motions

DOI10.1007/S00245-012-9188-7zbMATH Open1270.49021arXiv1203.3182OpenAlexW1995561094WikidataQ57612064 ScholiaQ57612064MaRDI QIDQ358622FDOQ358622

Authors: Yuecai Han, Yaozhong Hu, Jian Song 

Publication date: 9 August 2013

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

Abstract: We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations that the optimal control must satisfy (necessary condition for the optimal control). This system of equations consists of a backward stochastic differential equation driven by both fractional Brownian motion and the corresponding underlying standard Brownian motion. In addition to this backward equation, the maximum principle also involves the Malliavin derivatives. Our approach is to use conditioning and Malliavin calculus. To arrive at our maximum principle we need to develop some new results of stochastic analysis of the controlled systems driven by fractional Brownian motions via fractional calculus. Our approach of conditioning and Malliavin calculus is also applied to classical system driven by standard Brownian motion while the controller has only partial information. As a straightforward consequence, the classical maximum principle is also deduced in this more natural and simpler way.

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

Recommendations

• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions

zbMATH Keywords

Malliavin calculusmaximum principlebackward stochastic differential equationsfractional Brownian motionsstochastic optimal controlcontrolled stochastic differential systemspartial information stochastic control

Mathematics Subject Classification ID

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

Cites Work

• The Malliavin Calculus and Related Topics
• Gaussian measures in Banach spaces
• Conjugate convex functions in optimal stochastic control
• Differential equations driven by fractional Brownian motion
• Controlled Markov processes and viscosity solutions
• A General Stochastic Maximum Principle for Optimal Control Problems
• Title not available (Why is that?)
• An Introductory Approach to Duality in Optimal Stochastic Control
• Title not available (Why is that?)
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Semiconcave functions, Hamilton-Jacobi equations, and optimal control
• Integration with respect to fractal functions and stochastic calculus. I
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Rough path analysis via fractional calculus
• Title not available (Why is that?)
• System Control and Rough Paths
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions
• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Some solvable stochastic control problemst^†
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Title not available (Why is that?)
• Partial Information Linear Quadratic Control for Jump Diffusions

Cited In (16)

• Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
• A general maximum principle for discrete fractional stochastic control system of mean-field type
• Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
• Maximum principle for controlled fractional Fokker-Planck equations
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process
• Mean-field backward stochastic differential equations driven by fractional Brownian motion
• Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application
• The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
• Maximum principle of discrete stochastic control system driven by both fractional noise and white noise
• Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem
• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• A maximum principle for discrete delayed stochastic control system driven by fractional noise
• Discrete subdiffusion equations with memory
• Stochastic controls of fractional Brownian motion
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions

This page was built for publication: Maximum principle for general controlled systems driven by fractional Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q358622)