Stochastic controls of fractional Brownian motion

DOI10.1515/ROSE-2023-2025MaRDI QIDQ6123178zbMATH OpenOpenAlexFDO

Authors Ikram Hamed, Adel Chala

Publication date 4 March 2024

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2023-2025

zbMATH Keywords

fractional Brownian motiongeneralized Itô formulaoptimal controlstochastic maximum principle

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

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Cites work

• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equation driven by fractional Brownian motion
• Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion
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• Forward, backward and symmetric stochastic integration
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized BSDEs driven by fractional Brownian motion
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application
• Maximum principle for general controlled systems driven by fractional Brownian motions
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equations driven by fractional Brownian motions
• The generalized covariation process and Itô formula

Cited in

(1)

• Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion

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