{
  "id": "1706.06233",
  "version": "v1",
  "published": "2017-06-20T01:06:43.000Z",
  "updated": "2017-06-20T01:06:43.000Z",
  "title": "Mean-field optimal control problem of SDDE driven by fractional Brownian motion",
  "authors": [
    "Nacira Agram",
    "Soukaina Douissi",
    "Astrid Hilbert"
  ],
  "comment": "18",
  "categories": [
    "math.OC",
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-06-20T01:06:43.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "mean-field optimal control problem",
      "fractional brownian motion",
      "sdde driven",
      "stochastic differential equations",
      "hurst parameter"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}