Linear-Quadratic Fractional Gaussian Control

DOI10.1137/120877283zbMath1285.49024OpenAlexW2114827813MaRDI QIDQ5408802

Tyrone E. Duncan, Bozenna 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) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)

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