Maximum principle for controlled fractional Fokker-Planck equations

被引：0

作者：

Wang, Qiuxi ^{[1
]}

机构：

[1] Jilin Univ, Coll Math, Changchun 130012, Peoples R China

来源：

ADVANCES IN DIFFERENCE EQUATIONS | 2015年

关键词：

alpha-stable subordinator; maximum principle; stochastic optimal control problem; well-posedness; Riemann-Liouville derivative; ANOMALOUS DIFFUSION;

D O I：

10.1186/s13662-015-0382-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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 alpha-stable process. We give some estimates of the solutions by fractional calculus. A linear-quadratic example is given at the end of the paper.

引用

页数：13

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