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Dynamic programming principle for controlled systems driven by fractional Brownian motions and related backward stochastic Riccati equations

  • Yuecai Han
  • Yaozhong Hu
  • Yuhang Li
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Abstract

This work aims to study the stochastic optimal control problems of controlled stochastic differential systems driven by both Brownian motions and fractional Brownian motions via dynamic programming principle. The stochastic Hamilton-Jacobi-Bellman equation is obtained. Different from the classical case, the obtained stochastic Hamilton-Jacobi-Bellman equation is a backward stochastic partial differential equation driven by both fractional Brownian motions and standard Brownian motions, whose solution is a pair of random fields. For linear quadratic optimal control problem this backward stochastic partial differential equation is explicitly solved by relating it to a backward stochastic Riccati equation.

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Cite

BibTeXRIS
BibTeX
@misc{han2026dynamic,
  title = {{Dynamic programming principle for controlled systems driven by fractional Brownian motions and related backward stochastic Riccati equations}},
  author = {Yuecai Han and Yaozhong Hu and Yuhang Li},
  howpublished = {arXiv},
  year = {2026},
  month = nov,
  doi = {10.48550/arxiv.2611.00535},
  eprint = {2611.00535},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2611.00535},
}
RIS
TY  - UNPB
TI  - Dynamic programming principle for controlled systems driven by fractional Brownian motions and related backward stochastic Riccati equations
AU  - Yuecai Han
AU  - Yaozhong Hu
AU  - Yuhang Li
PY  - 2026
DA  - 2026/11/01
PB  - arXiv
DO  - 10.48550/arxiv.2611.00535
UR  - https://arxiv.org/abs/2611.00535
AB  - This work aims to study the stochastic optimal control problems of controlled stochastic differential systems driven by both Brownian motions and fractional Brownian motions via dynamic programming principle. The stochastic Hamilton-Jacobi-Bellman equation is obtained. Different from the classical case, the obtained stochastic Hamilton-Jacobi-Bellman equation is a backward stochastic partial differential equation driven by both fractional Brownian motions and standard Brownian motions, whose solution is a pair of random fields. For linear quadratic optimal control problem this backward stochastic partial differential equation is explicitly solved by relating it to a backward stochastic Riccati equation.
ER  -