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

DOI10.4064/BC105-0-7MaRDI QIDQ5265537zbMATHOpenAlexFDO

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 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)

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(10)

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

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