Advances in noise modeling for stochastic systems in optimal control

DOI10.1007/s44007-022-00025-yzbMath1498.93776MaRDI QIDQ2674977

Bozenna Pasik-Duncan, Tyrone E. Duncan

Publication date: 19 September 2022

Published in: La Matematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s44007-022-00025-y

zbMATH Keywords

stochastic control; Rosenblatt processes; linear-quadratic stochastic control

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

49N10: Linear-quadratic optimal control problems