A stochastic maximum principle for general controlled systems driven by fractional Brownian motions

DOI10.1016/j.jmaa.2020.124854zbMath1458.93239OpenAlexW3112606586MaRDI QIDQ1996147

Yifang Sun

Publication date: 3 March 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2020.124854

zbMATH Keywords

fractional Brownian motionstochastic controlMalliavin calculusstochastic maximum principle

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic systems in control theory (general) (93E03) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (3)

Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion

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