Stochastic Control for Linear Systems Driven by Fractional Noises
From MaRDI portal
Publication:5317117
DOI10.1137/S0363012903426045zbMath1116.93055MaRDI QIDQ5317117
No author found.
Publication date: 15 September 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
fractional Brownian motion; Riccati equation; stochastic integrals; Malliavin derivative; stochastic linear-quadratic control
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
49J55: Existence of optimal solutions to problems involving randomness
Related Items
Mean-field optimal control problem of SDDES driven by fractional Brownian Motion, Optimal Control for Non-Homogeneous Linear Systems Driven by Fractional Noises, Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem, An Infinite-Dimensional Fractional Linear Quadratic Regulator Problem, Optimal Rate for a Queueing System in Heavy Traffic with Superimposed On-Off Arrivals, An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion, On the fractional stochastic integration for random non-smooth integrands, Quantized feedback control for Markovian jumping singular systems driven by fractional Brownian motions, Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process, Stochastic controls of fractional Brownian motion, Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion, Comments on ``Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach, Solutions to BSDEs driven by both standard and fractional Brownian motions, Maximum principle for general controlled systems driven by fractional Brownian motions, Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion, Optimal tracking for bilinear stochastic system driven by fractional Brownian motions, Properties of solution of fractional backward stochastic differential equation, The high-order SPDEs driven by multi-parameter fractional noises, Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions, A stochastic maximum principle for general controlled systems driven by fractional Brownian motions, Robust \(H_\infty\) filtering and control for a class of linear systems with fractional stochastic noise, Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems, Prediction for some processes related to a fractional Brownian motion, Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application, Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions, Integral sliding mode control for robust stabilisation of uncertain stochastic time-delay systems driven by fractional Brownian motion, Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion, Stationarity and control of a tandem fluid network with fractional Brownian motion input, Optimal Control of a Stochastic Processing System Driven by a Fractional Brownian Motion Input, Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion, Stochastic Control System for Mortality Benefits