A maximum principle for fractional diffusion processes with infinite horizon
Optimization and Control
2012-06-29 v2
Abstract
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our findings with an example.
Keywords
Cite
@article{arxiv.1206.3432,
title = {A maximum principle for fractional diffusion processes with infinite horizon},
author = {Sven Haadem},
journal= {arXiv preprint arXiv:1206.3432},
year = {2012}
}