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20102016
most citedMean-field SDE driven by a fractional Brownian motion and related stochastic control problem

22 citations · 33 across the 6 of their papers we have counts for

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math.OC2016★ 11 cited

Peng's Maximum Principle for a Stochastic Control Problem Driven by a Fractional and a Standard Brownian Motion

Rainer Buckdahn, Shuai Jing

We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation…

math.OC2016★ 22 cited

Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem

Rainer Buckdahn, Shuai Jing

We study a class of mean-field stochastic differential equations driven by a fractional Brownian motion with Hurst parameter and a related stochastic control problem.…