Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions
- Jilin University, School of Mathematics (China)
- University of Kansas, Department of Mathematics (United States)
We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter H>1/2). This maximum principle specifies a system of equations that the optimal control must satisfy (necessary condition for the optimal control). This system of equations consists of a backward stochastic differential equation driven by both fractional Brownian motions and the corresponding underlying standard Brownian motions. In addition to this backward equation, the maximum principle also involves the Malliavin derivatives. Our approach is to use conditioning and Malliavin calculus. To arrive at our maximum principle we need to develop some new results of stochastic analysis of the controlled systems driven by fractional Brownian motions via fractional calculus. Our approach of conditioning and Malliavin calculus is also applied to classical system driven by standard Brownian motions while the controller has only partial information. As a straightforward consequence, the classical maximum principle is also deduced in this more natural and simpler way.
- OSTI ID:
- 22156410
- Journal Information:
- Applied Mathematics and Optimization, Vol. 67, Issue 2; Other Information: Copyright (c) 2013 Springer Science+Business Media New York; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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