Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion

DOI10.1007/s11425-014-4826-yzbMath1305.93205arXiv1605.01666OpenAlexW2058380216MaRDI QIDQ477274

Rainer Buckdahn, Shuai Jing

Publication date: 3 December 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01666

zbMATH Keywords

maximum principlevariational inequalityfractional Brownian motionbackward stochastic differential equationGirsanov transformationstochastic control systemGaltchouk-Kunita-Watanabe decomposition

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45)

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