On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
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Publication:3373739
DOI10.1051/ps:2005008zbMath1136.93463OpenAlexW2115031099MaRDI QIDQ3373739
M. Viot, Marina Kleptsyna, Alain Le Breton
Publication date: 9 March 2006
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=PS_2005__9__185_0
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Martingales with continuous parameter (60G44)
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