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

DOI10.1002/OCA.3039MaRDI QIDQ6180295zbMATH OpenOpenAlexFDO

Authors Yifang Sun

Publication date 19 January 2024

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.3039

zbMATH Keywords

fractional Brownian motionmaximum principlestochastic optimal controlmean-field controlled systems

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Mean field games and control (49N80)

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Cites work

• scientific article; zbMATH DE number 3121490 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
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• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Integral transformations and anticipative calculus for fractional Brownian motions
• Maximum principle for general controlled systems driven by fractional Brownian motions
• Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
• Mean field games
• Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Stochastic integration with respect to the fractional Brownian motion
• The Malliavin Calculus and Related Topics

Cited in

(2)

• The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
• Stochastic controls of fractional Brownian motion

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