Linear-quadratic fractional Gaussian control
DOI10.1137/120877283zbMATH Open1285.49024OpenAlexW2114827813MaRDI QIDQ5408802FDOQ5408802
Authors: T. E. Duncan, B. Pasik-Duncan 
Publication date: 11 April 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1808/16694
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Fractional processes, including fractional Brownian motion (60G22) Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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- Cost function calculation for stationary, linear-quadratic systems with colored noise
- Non-linear quadratic gaussian control†
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- Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Stochastic control systems with long-range dependent noise
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- On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
- Advances in noise modeling for stochastic systems in optimal control
- The Stochastic LQR Optimal Control with Fractional Brownian Motion
- Linear-quadratic mean-field-type games: a direct method
- Ergodic control of linear stochastic equations in a Hilbert space with fractional Brownian motion
- Stochastic Control for Linear Systems Driven by Fractional Noises
- Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions
- Stochastic control with rough paths
- Stochastic linear-quadratic control revisited
- A functional analytic approach to infinite dimensional stochastic linear systems
- Bellman equations for scalar linear convex stochastic control problems
- Mu-synthesis using linear quadratic Gaussian controllers
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