Optimal control for rough differential equations

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dc.creatorMazliak, Laurent
dc.creatorNourdin, Ivan
dc.date2006-06-01
dc.date.accessioned2026-07-07T07:14:43Z
dc.date.available2026-07-07T07:14:43Z
dc.descriptionIn this note, we consider an optimal control problem associated to a differential equation driven by a Hölder continuous function g of index greater than 1/2. We split our study in two cases. If the coefficient of dg\_t does not depend on the control process, we prove an existence theorem for a slightly generalized control problem, that is we obtain a literal extension of the corresponding deterministic situation. If the coefficient of dg\_t depends on the control process, we also prove an existence theorem but we are here obliged to restrict the set of controls to sufficiently regular functions.
dc.description13 pages
dc.identifierhttps://arxiv.org/abs/math/0606030
dc.identifierhttp://arxiv.org/abs/math/0606030
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/112993
dc.subjectProbability
dc.subjectOptimization and Control
dc.titleOptimal control for rough differential equations
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