Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion

DOI10.1007/S11425-014-4826-YzbMATH Open1305.93205arXiv1605.01666OpenAlexW2058380216MaRDI QIDQ477274FDOQ477274

Rainer Buckdahn, Shuai Jing

Publication date: 3 December 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Abstract: We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation to transform the system into another one, driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion. We derive a maximum principle and the associated stochastic variational inequality, which both are generalizations of the classical case.

Full work available at URL: https://arxiv.org/abs/1605.01666

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zbMATH Keywords

fractional Brownian motionmaximum principlebackward stochastic differential equationvariational inequalityGirsanov transformationstochastic control systemGaltchouk-Kunita-Watanabe decomposition

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Methods involving semicontinuity and convergence; relaxation (49J45) Optimal stochastic control (93E20)

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Cited In (8)

• Title not available (Why is that?)
• Maximum principle for controlled fractional Fokker-Planck equations
• Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process
• The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
• Existence and exponential stability in the \(p\)th moment for impulsive neutral stochastic integro-differential equations driven by mixed fractional Brownian motion
• Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion
• Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem
• Peng's Maximum Principle for Stochastic Partial Differential Equations

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