A stochastic maximum principle for processes driven by fractional Brownian motion

Authors: Biagini F.; Hu Y.; Oksendal B.; Sulem A.

Source: Stochastic Processes and their Applications, Volume 100, Number 1, July 2002 , pp. 233-253(21)

Publisher: Elsevier

Keywords: [Mathematical Subject Codes] Primary 93E20; [Mathematical Subject Codes] 60H05; [Mathematical Subject Codes] 60H10; [Mathematical Subject Codes] Secondary 91B28; Stochastic maximum principle; Stochastic control; Fractional Brownian motion

Language: English

Document Type: Research article

DOI: http://dx.doi.org/10.1016/S0304-4149(02)00157-6

Affiliations: 1: Department of Mathematics, University of Oslo, Box 1053 Blindern, N-0316 , Oslo, Norway

Publication date: 2002-07-01

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• In this Subject: Mathematics and Statistics
• By this author: Biagini F. ;  Hu Y. ;  Oksendal B. ;  Sulem A.

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