Maximum principle for controlled fractional Fokker-Planck equations

Advances in Difference Equations

Qiuxi Wang¹ 

[1] College of Mathematics, Jilin University, Changchun, P.R. China

关键词: α-stable subordinator;    maximum principle;    stochastic optimal control problem;    well-posedness;    Riemann-Liouville derivative;   

DOI  :  10.1186/s13662-015-0382-1

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

In this paper, we obtain a maximum principle for controlled fractional Fokker-Planck equations. We prove the well-posedness of a stochastic differential equation driven by an α-stable process. We give some estimates of the solutions by fractional calculus. A linear-quadratic example is given at the end of the paper.

【 授权许可】

CC BY