About the linear-quadratic regulator problem under a fractional Brownian perturbation (Q4405589)

This paper deals with the fractional analogue of the linear-quadratic Gaussian regulator problem in one dimension. The real-valued state process \(X_t\) is a linear system governed by the stochastic differential equation \[ dX_t= a(t) X_t dt+ b(t) u_t dt+ c(t) dB^H_t, \] where \(B^H_t\) is a normalized fractional Brownian motion with parameter \(H\) and \(u= (u_t, t\in[0,T])\) an admissible control. The quadratic payoff \(J\) is defined by \[ J(u)= E\Biggl\{q_T X^2_T+ \int^T_0 [q(t) X^2_t+ r(t) u^2_t] dt\Biggr\}. \] The authors explicitly describe a unique optimal control using the backward Riccati equation. Moreover, the optimal cost is also represented.