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arXiv · 2212.05334

The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion

Yueyang Zheng·Yaozhong Hu
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Abstract

In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov transformation, we introduce and study new stochastic processes which are used to transform the original problem to a "classical one". The adjoint backward stochastic differential equations and the necessary condition satisfied by the optimal control (maximum principle) are obtained.

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Yueyang Zheng, Yaozhong Hu. 2022-12-10. The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion. https://arxiv.org/abs/2212.05334

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