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Peng's Maximum Principle for a Stochastic Control Problem Driven by a Fractional and a Standard Brownian Motion
- Source :
- Science China Mathematics, 2014, 57: 2025-2042
- Publication Year :
- 2016
-
Abstract
- We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation to transform the system into another one, driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion. We derive a maximum principle and the associated stochastic variational inequality, which both are generalizations of the classical case.
- Subjects :
- Mathematics - Optimization and Control
60G22, 60H05, 93E20
Subjects
Details
- Database :
- arXiv
- Journal :
- Science China Mathematics, 2014, 57: 2025-2042
- Publication Type :
- Report
- Accession number :
- edsarx.1605.01666
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1007/s11425-014-4826-y