Maximum principle of discrete stochastic control system driven by both fractional noise and white noise

DOI10.1155/2020/1959050zbMath1459.49014OpenAlexW3033937973MaRDI QIDQ782063

Zheng Li, Yuecai Han

Publication date: 22 July 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/1959050

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45) Optimality conditions for problems involving relations other than differential equations (49K21)

Related Items (2)

Maximum principle for discrete-time stochastic control problem of mean-field type ⋮ Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process

Cites Work

• Unnamed Item
• Unnamed Item
• On the theory of necessary optimality conditions in discrete systems
• Maximum principle for general controlled systems driven by fractional Brownian motions
• On the maximum principle for a class of discrete dynamical systems with lags
• A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
• Integral transformations and anticipative calculus for fractional Brownian motions
• A General Stochastic Maximum Principle for Optimal Control Problems
• Maximum principles for discrete-time nonlinear stochastic control systems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Discretional Convexity and the Maximum Principle for Discrete Systems
• An Abstract Variational Theory with Applications to a Broad Class of Optimization Problems. I. General Theory
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

This page was built for publication: Maximum principle of discrete stochastic control system driven by both fractional noise and white noise