{"product_id":"hamed-ikram-on-fractional-brownian-motion-with-application-to-smp-9786209035944","title":"On Fractional Brownian Motion with Application to SMP","description":"This book extends Pontryagin's stochastic maximum principle to systems driven by fractional Brownian motion . It explores two main topics. The first deals with a risk-neutral optimal control problem, where the convex perturbation method is used to derive optimality conditions. The second topic focuses on risk-sensitive control, formulated via backward stochastic differential equation . Here, the goal is to minimize a convex disutility function of cost. The study links risk-neutral and risk-sensitive formulations, establishes the equivalence between exponential utility and quadratic BSDEs, and transforms the problem into a standard risk-neutral form to derive a stochastic maximum principle.","brand":"GlobeEdit","offers":[{"title":"Default Title","offer_id":53807931687254,"sku":null,"price":0.0,"currency_code":"EUR","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0925\/5829\/5382\/files\/product_image_9786209035944_1.jpg?v=1781814938","url":"https:\/\/www.momoxbooks.com\/products\/hamed-ikram-on-fractional-brownian-motion-with-application-to-smp-9786209035944","provider":"momoxbooks","version":"1.0","type":"link"}