Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
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Publication:5190278
DOI10.1051/ps:2007046zbMath1185.93134MaRDI QIDQ5190278
Marina Kleptsyna, Alain Le Breton, M. Viot
Publication date: 15 March 2010
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/104412
optimal control; linear system; fractional Brownian motion; separation principle; optimal filtering; quadratic payoff
60G15: Gaussian processes
93E11: Filtering in stochastic control theory
93E20: Optimal stochastic control
60G44: Martingales with continuous parameter
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