Showing 2023Show all
2 papers · 1 filter
math.OC2023
Stochastic Maximum Principle for a generalized Volterra Control System
Yuhang Li, Yuecai Han
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic V…
math.OC2023
Maximum Principle for Control System driven by Mixed Fractional Brownian Motion
Yuhang Li, Yuecai Han
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2…