Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems

DOI10.1007/s00245-017-9468-3zbMath1429.49039WikidataQ103923415 ScholiaQ103923415MaRDI QIDQ2338074

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

Publication date: 20 November 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-017-9468-3

zbMATH Keywords

Gauss-Volterra noise processes; stochastic linear-quadratic control problem

Mathematics Subject Classification ID

60G15: Gaussian processes

49N35: Optimal feedback synthesis

60J65: Brownian motion

49N10: Linear-quadratic optimal control problems