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

DOI10.1007/S11425-014-4826-YMaRDI QIDQ477274zbMATH OpenOpenAlexFDO

Authors 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

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)

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.

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Cited in

(14)

• Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
• Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
• Stochastic maximum principle for stochastic differential equations driven by fractional Brownian motion with jumps
• Maximum principle for controlled fractional Fokker-Planck equations
• Maximum principle for general controlled systems driven by fractional Brownian motions
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• 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
• Existence and exponential stability in the \(p\)th moment for impulsive neutral stochastic integro-differential equations driven by mixed fractional Brownian motion
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• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• On moment estimates for solutions of mixed SDEs under non-Lipschitz condition
• Peng's Maximum Principle for Stochastic Partial Differential Equations

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