Ergodic control of linear stochastic equations in a Hilbert space with fractional Brownian motion

DOI10.4064/bc105-0-7zbMath1325.60104OpenAlexW2620547222MaRDI QIDQ5265537

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

Publication date: 28 July 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/bc105-0-7

zbMATH Keywords

optimal controlfractional Brownian motionlinear-quadratic probleminfinite-dimensional stochastic differential equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Advances in noise modeling for stochastic systems in optimal control ⋮ Ergodic control for Lévy-driven linear stochastic equations in Hilbert spaces ⋮ Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process ⋮ Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems

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