arXiv:1206.3432 Abstract | arXiv Analytics

arXiv:1206.3432 [math.OC]Abstract References Reviews Resources

A maximum principle for fractional diffusion processes with infinite horizon

Published 2012-06-15, updated 2012-06-28Version 2

We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our findings with an example.

Categories: math.OC

Subjects: 93E20, 60G22, 60H10, 49J55

Keywords: fractional diffusion processes, infinite horizon, maximum principle, fractional backward stochastic differential equations, optimal control

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