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

DOI10.4064/BC105-0-7zbMATH Open1325.60104OpenAlexW2620547222MaRDI QIDQ5265537FDOQ5265537

B. Maslowski, T. E. Duncan, 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 motionoptimal controllinear-quadratic probleminfinite-dimensional stochastic differential equations

Mathematics Subject Classification ID

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

Cited In (6)

• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
• An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
• Advances in noise modeling for stochastic systems in optimal control
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• Ergodic control for Lévy-driven linear stochastic equations in Hilbert spaces
• Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process

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