Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
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Publication:477274
DOI10.1007/s11425-014-4826-yzbMath1305.93205arXiv1605.01666MaRDI QIDQ477274
Publication date: 3 December 2014
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.01666
maximum principle; variational inequality; fractional Brownian motion; backward stochastic differential equation; Girsanov transformation; stochastic control system; Galtchouk-Kunita-Watanabe decomposition
60G22: Fractional processes, including fractional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49J45: Methods involving semicontinuity and convergence; relaxation
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