Ergodic control of linear stochastic equations in a Hilbert space with fractional Brownian motion

DOI10.4064/BC105-0-7MaRDI QIDQ5265537zbMATH OpenOpenAlexFDO

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

Publication date 28 July 2015

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc105-0-7

zbMATH Keywords

fractional Brownian motioninfinite-dimensional stochastic differential equationslinear-quadratic problemoptimal control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

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