A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)

DOI10.1007/BF02935786zbMath1106.49048MaRDI QIDQ2574323

Guy Jumaric

Publication date: 21 November 2005

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

zbMATH Keywords

fractional Brownian motionfractional differentiation and integrationfractional LQG problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Power series (including lacunary series) in one complex variable (30B10) Miscellaneous topics in measure theory (28E99)

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