scientific article; zbMATH DE number 6108121

MaRDI QIDQ4648886zbMATH OpenFDO

Authors T. E. Duncan, B. Pasik-Duncan

Publication date 16 November 2012

zbMATH Keywords

controlled linear stochastic equationHamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)

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(16)

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• Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
• Indefinite risk-sensitive control
• Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions
• The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
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• Stochastic initial boundary value problems subject to distributed and boundary noise and their optimal control
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