Name
Title | ||
|---|---|---|
Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem. |
Abstract | ||
|---|---|---|
We study a class of mean-field stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H is an element of (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 generalize the classical ones, the necessary condition for the optimality of an admissible control is also sufficient. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1137/16M1077921 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION |
Keywords | Field | DocType |
mean-field SDE,mean-field FBSDE,fractional Brownian motion,Pontryagin maximum principle | Diffusion process,Mathematical optimization,Mathematical analysis,Brownian excursion,Hurst exponent,Stochastic differential equation,Brownian motion,Fractional Brownian motion,Mathematics,Geometric Brownian motion,Stochastic control | Journal |
Volume | Issue | ISSN |
55 | 3 | 0363-0129 |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Rainer Buckdahn | 1 | 62 | 18.36 |
| Shuai Jing | 2 | 0 | 0.34 |