Optimal Control of a Stochastic Processing System Driven by a Fractional Brownian Motion Input

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Title Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions

We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter H > 1/2). This maximum principle specifies a system of equations that the optimal control must satisfy (necessary condition for the optimal control). This system of equations consists of a backward stochastic differential eq...

Optimal control of a stochastic network driven by a fractional Brownian motion input

We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON-OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite horizon discounted cost, and the finite horizon cost. In addition, we find a solution to a constrained minimization problem as an applic...

On time-dependent neutral stochastic evolution equations with a fractional Brownian motion and infinite delays

In this paper, we consider a class of time-dependent neutral stochastic evolution equations with the infinite delay and a fractional Brownian motion in a Hilbert space. We establish the existence and uniqueness of mild solutions for these equations under non-Lipschitz conditions with Lipschitz conditions being considered as a special case. An example is provided to illustrate the theory

Control of Some Stochastic Systems with a Fractional Brownian Motion

Some stochastic control systems that are described by stochastic differential equations with a fractional Brownian motion are considered. The solutions of these systems are defined by weak solutions. These weak solutions are obtained by the transformation of the measure for a fractional Brownian motion by a Radon-Nikodym derivative. This weak solution approach is used to solve a control problem...