Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
From MaRDI portal
Publication:5190278
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
optimal control; linear system; fractional Brownian motion; separation principle; optimal filtering; quadratic payoff
60G15: Gaussian processes
93E11: Filtering in stochastic control theory
93E20: Optimal stochastic control
60G44: Martingales with continuous parameter
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic analysis of the fractional Brownian motion
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- A stochastic maximum principle for processes driven by fractional Brownian motion.
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
- General approach to filtering with fractional brownian noises — application to linear systems
- On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
- On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
- About the linear-quadratic regulator problem under a fractional Brownian perturbation
- Linear estimation of self-similar processes via Lamperti's transformation
- On the prediction of fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- On the Separation Theorem of Stochastic Control