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

DOI10.1051/ps:2007046zbMath1185.93134MaRDI QIDQ5190278

M. Viot, Alain Le Breton, Marina Kleptsyna

Publication date: 15 March 2010

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

Full work available at URL: https://eudml.org/doc/104412

zbMATH Keywords

optimal control; linear system; fractional Brownian motion; separation principle; optimal filtering; quadratic payoff

Mathematics Subject Classification ID

60G15: Gaussian processes

93E11: Filtering in stochastic control theory

93E20: Optimal stochastic control

60G44: Martingales with continuous parameter

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Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes

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