Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem.
Soukaina DouissiJiaqiang WenYufeng ShiPublished in: Appl. Math. Comput. (2019)
Keyphrases
- stochastic differential equations
- brownian motion
- stochastic control
- fractional brownian motion
- long range
- optimal control
- diffusion process
- differential equations
- non stationary
- dynamic programming
- stochastic processes
- stochastic process
- poisson process
- closed form
- queue length
- heavy traffic
- mathematical model
- maximum a posteriori estimation
- fractal dimension
- vector valued
- scale space
- markov random field