Title :
Hu-Meyer formula in stochastic control systems driven by fBm
Author :
Wang, Baobin ; Hu, Junhao
Author_Institution :
Sch. of Math. & Stat., Central South Univ. for Nat., Wuhan, China
Abstract :
This article is concerned with the Hu-Meyer formula in stochastic control systems with fractional Brownian motion (fBm). We introduce the control model involving the multiple fractional Stratonovich integral for Hurst parameter less than 1/2. By Wick product, Hu-Meyer formula is explicitly given based on the multiple Statonovich integral.
Keywords :
Brownian motion; stochastic processes; FBM; Hu-Meyer formula; Hurst parameter; Stratonovich integral; fractional Brownian motion; stochastic control systems; Brownian motion; Calculus; Gaussian processes; Optimal control; Random variables; Fractional Brownian motion; Hu-Meyer formula; Stochastic control;
Conference_Titel :
Electric Information and Control Engineering (ICEICE), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-8036-4
DOI :
10.1109/ICEICE.2011.5777214
