Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application (Q2660769)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application |
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Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application (English)
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31 March 2021
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fractional Brownian motion
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standard Wiener motion
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Doss-Sussmann transformation
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Malliavin derivative
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maximum principle
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stochastic optimal control
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variational inequality
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