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

DOI10.4064/bc105-0-7zbMath1325.60104OpenAlexW2620547222MaRDI QIDQ5265537

Bohdan Maslowski, Tyrone E. Duncan, Bozenna 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

optimal controlfractional Brownian motionlinear-quadratic probleminfinite-dimensional stochastic differential equations

Mathematics Subject Classification ID

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

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