The Stochastic LQR Optimal Control with Fractional Brownian Motion

DOI10.1007/978-3-319-51911-1_8zbMATH Open1385.49018OpenAlexW2611430382MaRDI QIDQ4607777FDOQ4607777

Authors: Tijana Levajković, Hermann Mena, Amjad Tuffaha 

Publication date: 14 March 2018

Published in: Generalized Functions and Fourier Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-51911-1_8

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zbMATH Keywords

Malliavin calculusfractional Brownian motionRiccati equationlinear quadratic regulator (LQR)stochastic optimal control problemfractional space

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited In (6)

• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• Linear-quadratic fractional Gaussian control
• A non-standard practical variational approach via fractional calculus to the optimal control of fractional stochastic systems driven by white noises
• Biplanar crossing numbers. I: A survey of results and problems
• Optimal tracking for bilinear stochastic system driven by fractional Brownian motions
• Observer-based SMC for stochastic systems with disturbance driven by fractional Brownian motion

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