The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion

DOI10.1137/22m1543203arXiv2212.05334WikidataQ128587685 ScholiaQ128587685MaRDI QIDQ6198076

Yaozhong Hu, Yueyang Zheng

Publication date: 20 February 2024

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

Full work available at URL: https://arxiv.org/abs/2212.05334

zbMATH Keywords

maximum principlefractional Brownian motionbackward stochastic differential equationsYoung integralpartial observationCampbell-Baker-Hausdorff-Dynkin formularough path integration

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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