Nacira Agram, Soukaina Douissi, Astrid Hilbert
Published 2017-06-20Version 1
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter H > 1/2. We obtain necessary and sufficient conditions for optimality, the existence and uniqueness of a particular anticipated BSDE driven by fBm is also studied. As an application we solve the problem of optimal consumption from a cash flow.
Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions
The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
Exact controllability of stochastic differential equations with multiplicative noise
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