Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions

DOI10.1002/oca.2155zbMath1333.93266OpenAlexW1835087204MaRDI QIDQ2800470

Feng Chen, Fushan Huang, Qiuxi Wang

Publication date: 15 April 2016

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2155

zbMATH Keywords

fractional Brownian motionsEkeland's principleStratonovich integralcontrolled delay system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

An efficient approximate method for solving delay fractional optimal control problems ⋮ A new Legendre operational technique for delay fractional optimal control problems ⋮ Mean-field optimal control problem of SDDES driven by fractional Brownian Motion ⋮ Optimal controls for fractional stochastic functional differential equations of order \(\alpha \in (1, 2\)] ⋮ Stochastic time-optimal control for time-fractional Ginzburg–Landau equation with mixed fractional Brownian motion ⋮ Approximation methods for solving fractional optimal control problems ⋮ Ritz approximate method for solving delay fractional optimal control problems

Cites Work

• Unnamed Item
• Maximum principle for general controlled systems driven by fractional Brownian motions
• Convergence of delay differential equations driven by fractional Brownian motion
• A new result on stability analysis for stochastic neutral systems
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
• Maximum principle for the stochastic optimal control problem with delay and application
• Theory of functional differential equations. 2nd ed
• Integration with respect to fractal functions and stochastic calculus. I
• Conjugate convex functions in optimal stochastic control
• Anticipated backward stochastic differential equations
• LQ control for Itô-type stochastic systems with input delays
• Controlled Markov processes and viscosity solutions
• An inequality of the Hölder type, connected with Stieltjes integration
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Integral transformations and anticipative calculus for fractional Brownian motions
• A General Stochastic Maximum Principle for Optimal Control Problems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Stochastic analysis of fractional brownian motions
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional Brownian Motions, Fractional Noises and Applications

This page was built for publication: Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions