The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
DOI10.1137/22m1543203arXiv2212.05334WikidataQ128587685 ScholiaQ128587685MaRDI QIDQ6198076
Publication date: 20 February 2024
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2212.05334
maximum principlefractional Brownian motionbackward stochastic differential equationsYoung integralpartial observationCampbell-Baker-Hausdorff-Dynkin formularough path integration
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximum principle for general controlled systems driven by fractional Brownian motions
- Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions
- Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
- The Campbell-Baker-Hausdorff-Dynkin formula and solutions of differential equations
- Differential equations driven by rough signals
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Controlling rough paths
- A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
- Multidimensional Stochastic Processes as Rough Paths
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- System Control and Rough Paths
- General necessary conditions for partially observed optimal stochastic controls
- Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
- Backward Stochastic Differential Equations
- Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions
- A course on rough paths. With an introduction to regularity structures
- Stochastic sewing in Banach spaces
This page was built for publication: The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion