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arxiv: 1605.01666 · v1 · pith:AZ654QNXnew · submitted 2016-05-05 · 🧮 math.OC

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

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keywords brownianmotionstandardfractionalstochasticcontroldrivenmaximum
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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 to transform the system into another one, driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion. We derive a maximum principle and the associated stochastic variational inequality, which both are generalizations of the classical case.

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