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 motion; Riccati equation; stochastic integrals; Malliavin derivative; stochastic linear-quadratic control
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
49J55: Existence of optimal solutions to problems involving randomness
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