Mean-field optimal control problem of SDDES driven by fractional Brownian Motion

DOI10.37190/0208-4147.40.1.9zbMath1453.60086arXiv1706.06233OpenAlexW3035218107MaRDI QIDQ5122743

Soukaina Douissi, Nacira Agram, Astrid Hilbert

Publication date: 24 September 2020

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.06233

zbMATH Keywords

fractional Brownian motionmean-fieldstochastic delayed differential equationsstochastic maximum principles

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Financial applications of other theories (91G80) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07)

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