Stochastic Control for Linear Systems Driven by Fractional Noises
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Publication:5317117
DOI10.1137/S0363012903426045zbMath1116.93055MaRDI QIDQ5317117
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Publication date: 15 September 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
fractional Brownian motionRiccati equationstochastic integralsMalliavin derivativestochastic linear-quadratic control
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Existence of optimal solutions to problems involving randomness (49J55)
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