Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem

DOI10.1137/16M1077921zbMath1361.93066arXiv1605.09488OpenAlexW3102891354MaRDI QIDQ5346506

Shuai Jing, Rainer Buckdahn

Publication date: 24 May 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.09488

zbMATH Keywords

fractional Brownian motionPontryagin-type maximum principlemean-field SDEmean-field FBSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimality conditions for problems involving randomness (49K45)

Related Items (9)

Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion ⋮ Distribution dependent SDEs driven by fractional Brownian motions ⋮ Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process ⋮ Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ Mean-field optimal control problem of SDDES driven by fractional Brownian Motion ⋮ A stochastic maximum principle for general controlled systems driven by fractional Brownian motions ⋮ Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations

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