Maximum Principle of Discrete Stochastic Control System Driven by Both Fractional Noise and White Noise

Abstract EN

In this paper, we investigate the necessary optimality conditions of the discrete stochastic optimal control problems driven by both fractional noise and white noise.

Here, the admissible control region is not necessarily convex.

The corresponding variational inequalities are obtained by applying the classical variation method and Malliavin calculus.

We also apply the stochastic maximum principle to a linear-quadratic optimal control problem to illustrate the main result.