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- W4385065629 abstract "We study a stochastic control problem of mean-field controlled stochastic differential systems driven by a fractional Brownian motion with Hurst parameter H ∈ ( 1 / 2 , 1 ) $$ Hin left(1/2,1right) $$ . As a necessary condition of the optimal control we obtain a stochastic maximum principle. The associated adjoint mean-field backward stochastic differential equation driven by a fractional Brownian motion and a classical Brownian motion. Applying the stochastic maximum principle to a mean-field stochastic linear quadratic problem, we obtain the optimal control and prove that the necessary condition for the optimality of an admissible control is also sufficient under certain assumptions." @default.
- W4385065629 created "2023-07-23" @default.
- W4385065629 creator A5058236349 @default.
- W4385065629 date "2023-07-21" @default.
- W4385065629 modified "2023-10-01" @default.
- W4385065629 title "Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion" @default.
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- W4385065629 doi "https://doi.org/10.1002/oca.3039" @default.
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