About the linear-quadratic regulator problem under a fractional Brownian perturbation
DOI10.1051/PS:2003007zbMATH Open1030.93059OpenAlexW1975079882MaRDI QIDQ4405589FDOQ4405589
Authors: M. Viot, Marina Kleptsyna, Alain Le Breton 
Publication date: 23 June 2003
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=PS_2003__7__161_0
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- About the linear-quadratic regulator problem under a fractional Brownian perturbation
Cited In (21)
- Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
- 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
- Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion
- Optimal Control for Non-Homogeneous Linear Systems Driven by Fractional Noises
- Stochastic linear quadratic optimal control problem for systems driven by fractional Brownian motions
- Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
- An infinite-dimensional fractional linear quadratic regulator problem
- Stationarity and control of a tandem fluid network with fractional Brownian motion input
- Linear-quadratic fractional Gaussian control
- On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
- Insurance control for classical risk model with fractional Brownian motion perturbation
- Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
- Adaptive energy-saving approximation for stationary processes
- On the linear-quadratic regulator problem in one-dimensional linear fractional stochastic systems
- Biplanar crossing numbers. I: A survey of results and problems
- Optimal tracking for bilinear stochastic system driven by fractional Brownian motions
- Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion
- Optimal control of a stochastic processing system driven by a fractional Brownian motion input
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
- Stochastic Control System for Mortality Benefits
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