{"ID":2851951,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2510.20058","arxiv_id":"2510.20058","title":"Maximum principle for optimal control of infinite horizon stochastic difference equations driven by fractional noises","abstract":"In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by discrete-time optimal control problem driven by fractional noises and on infinite horizon, the stochastic maximum principle for discrete-time control problem driven by fractional noises in infinite horizon is proved. As an application, an optimal investment problem is solved.","short_abstract":"In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by discrete-time optimal control problem driven by fractional noises and on infinite horizon, t...","url_abs":"https://arxiv.org/abs/2510.20058","url_pdf":"https://arxiv.org/pdf/2510.20058v1","authors":"[\"Yuecai Han\",\"Yuhang Li\"]","published":"2025-10-22T22:21:09Z","proceeding":"math.OC","tasks":"[\"math.OC\"]","methods":"[]","has_code":false}