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

DOI10.1007/s11425-014-4826-yzbMath1305.93205arXiv1605.01666MaRDI QIDQ477274

Rainer Buckdahn, Shuai Jing

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

zbMATH Keywords

maximum principle; variational inequality; fractional Brownian motion; backward stochastic differential equation; Girsanov transformation; stochastic control system; Galtchouk-Kunita-Watanabe decomposition

Mathematics Subject Classification ID

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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