Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems

DOI10.1007/s00245-017-9468-3zbMath1429.49039WikidataQ103923415 ScholiaQ103923415MaRDI QIDQ2338074

Bohdan Maslowski, Bozenna Pasik-Duncan, Tyrone E. Duncan

Publication date: 20 November 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-017-9468-3

zbMATH Keywords

Gauss-Volterra noise processes; stochastic linear-quadratic control problem

Mathematics Subject Classification ID

60G15: Gaussian processes

49N35: Optimal feedback synthesis

60J65: Brownian motion

49N10: Linear-quadratic optimal control problems

Related Items

Filtering of Gaussian processes in Hilbert spaces, Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process, On a generalized stochastic Burgers' equation perturbed by Volterra noise, Advances in noise modeling for stochastic systems in optimal control

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