Stochastic Control for Linear Systems Driven by Fractional Noises (Q5317117)
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scientific article; zbMATH DE number 2205811
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Control for Linear Systems Driven by Fractional Noises |
scientific article; zbMATH DE number 2205811 |
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Stochastic Control for Linear Systems Driven by Fractional Noises (English)
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15 September 2005
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fractional Brownian motion
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stochastic linear-quadratic control
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stochastic integrals
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Riccati equation
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Malliavin derivative
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