Maximum principle for general controlled systems driven by fractional Brownian motions

DOI10.1007/S00245-012-9188-7zbMATH Open1270.49021OpenAlexW1995561094WikidataQ57612064 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)

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

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)

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.

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(19)

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

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