Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations

2024/12/22 by Yuecai Han, Yuhang Li, Han, Yuecai +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Nonlinear Differential Equations Analysis

paper · pdf · doi:10.48550/arxiv.2412.16821

Abstract

In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the constructed white noises. The solution of the backward stochastic difference equations is also investigated. As an application, the linear quadratic case is considered to illustrate the main results.

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• Maximum principle for optimal control of infinite horizon stochastic difference equations driven by fractional noises

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