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Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
- Source :
- SIAM J. Control Optim. 55-3, pp. 1500-1533 (2017)
- Publication Year :
- 2016
-
Abstract
- We study a class of mean-field stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H\in(1/2,1)$ and a related stochastic control problem. We derive a Pontryagin type maximum principle and the associated adjoint mean-field backward stochastic differential equation driven by a classical Brownian motion, and we prove that under certain assumptions, which generalise the classical ones, the necessary condition for the optimality of an admissible control is also sufficient.<br />Comment: 34 pages
Details
- Database :
- arXiv
- Journal :
- SIAM J. Control Optim. 55-3, pp. 1500-1533 (2017)
- Publication Type :
- Report
- Accession number :
- edsarx.1605.09488
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1137/16M1077921