Maximum principle of discrete stochastic control system driven by both fractional noise and white noise
type: Item
instance of: scholarly article
title: Maximum principle of discrete stochastic control system driven by both fractional noise and white noise
zbMATH Open document ID: 1459.49014
DOI: 10.1155/2020/1959050
author: Yuecai Han
author: Zheng Li
published in: Discrete Dynamics in Nature and Society
publication date: 2020-07-22T00:00:00Z
review text: Summary: In this paper, we investigate the necessary optimality conditions of the discrete stochastic optimal control problems driven by both fractional noise and white noise. Here, the admissible control region is not necessarily convex. The corresponding variational inequalities are obtained by applying the classical variation method and Malliavin calculus. We also apply the stochastic maximum principle to a linear-quadratic optimal control problem to illustrate the main result.
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 49K21
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7224129
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/1959050
OpenAlex ID: W3033937973
cites work: Q3285814
cites work: Discretional Convexity and the Maximum Principle for Discrete Systems
cites work: Maximum principles for discrete-time nonlinear stochastic control systems
cites work: On the theory of necessary optimality conditions in discrete systems
cites work: Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
cites work: An Abstract Variational Theory with Applications to a Broad Class of Optimization Problems. I. General Theory
cites work: Q3932712
cites work: An Introductory Approach to Duality in Optimal Stochastic Control
cites work: A General Stochastic Maximum Principle for Optimal Control Problems
cites work: Maximum principle for general controlled systems driven by fractional Brownian motions
cites work: On the maximum principle for a class of discrete dynamical systems with lags
cites work: A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
cites work: Integral transformations and anticipative calculus for fractional Brownian motions
description: scientific article; zbMATH DE number 7224129