Linear-quadratic fractional Gaussian control

DOI10.1137/120877283MaRDI QIDQ5408802zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fractional Brownian motionslinear-quadratic controlcontinuous time linear systemslinear-quadratic Gaussian controlgeneral noise processes

Mathematics Subject Classification ID

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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Cited in

(22)

• Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
• Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
• Cost function calculation for stationary, linear-quadratic systems with colored noise
• Non-linear quadratic gaussian control†
• Necessary optimality conditions for quasi-singular controls for systems with Caputo fractional derivatives
• 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
• A simple stochastic control problem with anticipation
• 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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