On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation

DOI10.1051/PS:2005008MaRDI QIDQ3373739zbMATH OpenOpenAlexFDO

Authors 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, https://eudml.org/doc/245605

zbMATH Keywords

linear systemoptimal controlFractional Brownian motioninfinite timequadratic payoff

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

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Cited in

(7)

• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
• An infinite-dimensional fractional linear quadratic regulator problem
• Adaptive energy-saving approximation for stationary processes
• Biplanar crossing numbers. I: A survey of results and problems
• Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion

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