Maximum Principle of Discrete Stochastic Control System Driven by Both Fractional Noise and White Noise

Yuecai Han and Zheng Li

Discrete Dynamics in Nature and Society, 2020, vol. 2020, 1-10

Abstract:

In this paper, we investigate the necessary optimality conditions of the discrete stochastic optimal control problems driven by both fractional noise and white noise. Here, the admissible control region is not necessarily convex. The corresponding variational inequalities are obtained by applying the classical variation method and Malliavin calculus. We also apply the stochastic maximum principle to a linear-quadratic optimal control problem to illustrate the main result.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/DDNS/2020/1959050.pdf (application/pdf)
http://downloads.hindawi.com/journals/DDNS/2020/1959050.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:1959050

DOI: 10.1155/2020/1959050

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().