Stochastic Maximum Principle for Subdiffusions and Its Applications

DOI10.1137/23M157168XMaRDI QIDQ6202388zbMATH OpenOpenAlexFDO

Authors Shuaiqi Zhang, Zhen-Qing Chen

Publication date 26 March 2024

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2305.03676

zbMATH Keywords

BSDE driven by subdiffusionmartingale representation theorem of subdiffusionstochastic maximum principlesubdiffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Optimal stochastic control (93E20)

Abstract: In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian motion on $R$, and $L_t:=infr>0:S_r>t,quadtgeq0,$ is the inverse of a subordinator $S_t$ with drift $kappa>0$ that is independent of $B_t$. We obtain stochastic maximum principles (SMP) for these systems using both convex variational and spike methods, depending on whether the convex domain is convex or not. To derive SMP, we first establish martingale representation theorem for sub-diffusions $B_{L_t}$, and then use it to derive the existence and uniqueness result for the solutions of backward stochastic differential equations (BSDEs) driven by sub-diffusions, which may be of independent interest. Application to a linear quadratic example is given to illustrate the main results of this paper.

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Cited in

(6)

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• Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
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