The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion-Reference-Cited by-同舟云学术

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

Published:2024-02-06 Issue:1 Volume:62 Page:509-538
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Zheng Yueyang¹,Hu Yaozhong²

Affiliation:

1. Corresponding author. School of Mathematics, Shandong University, Jinan, 250100, People’s Republic of China, and School of Mathematical Sciences, Fudan University, Shanghai, 200433, China.

2. Department of Mathematical and Statistical Sciences, University of Alberta at Edmonton, Edmonton, T6G 2G1, Canada.

Funder

China Scholarship Council

Natural Sciences and Engineering Research Council of Canada

University of Alberta

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference20 articles.

1. Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions

2. Peng’s maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion

3. Stochastic analysis, rough path analysis and fractional Brownian motions

4. A Course on Rough Paths

5. Multidimensional Stochastic Processes as Rough Paths

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