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

Autor: Yuecai Han, Zheng Li
Jazyk: angličtina
Rok vydání: 2020
Předmět:
Zdroj: Discrete Dynamics in Nature and Society, Vol 2020 (2020)
Druh dokumentu: article
ISSN: 1026-0226
1607-887X
DOI: 10.1155/2020/1959050
Popis: 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.
Databáze: Directory of Open Access Journals
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