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

DOI10.1051/ps:2005008zbMath1136.93463OpenAlexW2115031099MaRDI QIDQ3373739

M. Viot, Marina Kleptsyna, Alain Le Breton

Publication date: 9 March 2006

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2005__9__185_0

zbMATH Keywords

optimal controllinear systemFractional Brownian motioninfinite timequadratic payoff

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Martingales with continuous parameter (60G44)

Related Items (4)

Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation ⋮ Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion ⋮ Adaptive energy-saving approximation for stationary processes ⋮ Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems

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