Mean-field optimal control problem of SDDES driven by fractional Brownian Motion
DOI10.37190/0208-4147.40.1.9zbMath1453.60086arXiv1706.06233OpenAlexW3035218107MaRDI QIDQ5122743
Soukaina Douissi, Nacira Agram, Astrid Hilbert
Publication date: 24 September 2020
Published in: Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.06233
fractional Brownian motionmean-fieldstochastic delayed differential equationsstochastic maximum principles
Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Financial applications of other theories (91G80) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07)
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