Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation (Q5190278): Difference between revisions

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scientific article; zbMATH DE number 5681376

Language	Label	Description	Also known as
English	Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation	scientific article; zbMATH DE number 5681376

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instance of

scholarly article

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title

Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation (English)

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ESAIM: Probability and Statistics

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publication date

15 March 2010

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full work available at URL

https://eudml.org/doc/104412

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zbMATH Keywords

fractional Brownian motion

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linear system

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optimal control

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optimal filtering

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quadratic payoff

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separation principle

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MaRDI profile type

MaRDI publication profile

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cites work

A stochastic maximum principle for processes driven by fractional Brownian motion.

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Q5544740

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Q3878440

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Stochastic analysis of the fractional Brownian motion

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Stochastic Calculus for Fractional Brownian Motion I. Theory

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On the prediction of fractional Brownian motion

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Statistical analysis of the fractional Ornstein--Uhlenbeck type process

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Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises

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General approach to filtering with fractional brownian noises — application to linear systems

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About the linear-quadratic regulator problem under a fractional Brownian perturbation

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Q3645228

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On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation

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Q3206067

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On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales

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An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

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Linear estimation of self-similar processes via Lamperti's transformation

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On the Separation Theorem of Stochastic Control

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Identifiers

zbMATH Open document ID

1185.93134

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DOI

10.1051/ps:2007046

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5190278

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-Alain Le Breton
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+Marina Kleptsyna
@@ Property / author: Marina Kleptsyna / rank @@
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+Alain Le Breton
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+A stochastic maximum principle for processes driven by fractional Brownian motion.
+Normal rank
@@ Property / cites work @@
+Q5544740
@@ Property / cites work: Q5544740 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3878440
@@ Property / cites work: Q3878440 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+On the prediction of fractional Brownian motion
@@ Property / cites work: On the prediction of fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
+Normal rank
@@ Property / cites work @@
+Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
+Normal rank
@@ Property / cites work @@
+General approach to filtering with fractional brownian noises — application to linear systems
+Normal rank
@@ Property / cites work @@
+About the linear-quadratic regulator problem under a fractional Brownian perturbation
+Normal rank
@@ Property / cites work @@
+Q3645228
@@ Property / cites work: Q3645228 / rank @@
+Normal rank
@@ Property / cites work @@
+On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
+Normal rank
@@ Property / cites work @@
+Q3206067
@@ Property / cites work: Q3206067 / rank @@
+Normal rank
@@ Property / cites work @@
+On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Linear estimation of self-similar processes via Lamperti's transformation
+Normal rank
@@ Property / cites work @@
+On the Separation Theorem of Stochastic Control
@@ Property / cites work: On the Separation Theorem of Stochastic Control / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5190278