A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems

2015 ◽  
Vol 17 (5) ◽  
pp. 1798-1809 ◽  
Author(s):  
Yan Wang ◽  
Aimin Song ◽  
Enmin Feng
Keyword(s):  
Maximum Principle ◽  
Stochastic Control ◽  
Malliavin Calculus ◽  
Impulse Control

Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application

2020 ◽  
Vol 28 (4) ◽  
pp. 291-306
Author(s):  
Tayeb Bouaziz ◽  
Adel Chala
Keyword(s):  
Brownian Motion ◽  
Maximum Principle ◽  
Control Problem ◽  
Fractional Brownian Motion ◽  
Stochastic Control ◽  
Malliavin Calculus ◽  
Stochastic Maximum Principle ◽  
Hurst Parameter ◽  
Principle Of Optimality ◽  
Initial Cost

AbstractWe consider a stochastic control problem in the case where the set of the control domain is convex, and the system is governed by fractional Brownian motion with Hurst parameter {H\in(\frac{1}{2},1)} and standard Wiener motion. The criterion to be minimized is in the general form, with initial cost. We derive a stochastic maximum principle of optimality by using two famous approaches. The first one is the Doss–Sussmann transformation and the second one is the Malliavin derivative.

scholarly journals A Maximum Principle for Stochastic Control with Partial Information

2007 ◽  
Vol 25 (3) ◽  
pp. 705-717 ◽  
Author(s):  
Fouzia Baghery ◽  
Bernt Øksendal
Keyword(s):  
Maximum Principle ◽  
Stochastic Control ◽  
Partial Information
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