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

continuous time linear systemsfractional Brownian motionsgeneral noise processeslinear-quadratic controllinear-quadratic Gaussian control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited in

(28)

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• 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
• Stochastic control with rough paths
• Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
• Advances in noise modeling for stochastic systems in optimal control
• Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions
• A simple stochastic control problem with anticipation
• Non-linear quadratic gaussian control†
• On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
• Cost function calculation for stationary, linear-quadratic systems with colored noise
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• Mu-synthesis using linear quadratic Gaussian controllers
• Stochastic linear-quadratic control revisited
• Bellman equations for scalar linear convex stochastic control problems
• Stochastic control systems with long-range dependent noise
• A functional analytic approach to infinite dimensional stochastic linear systems
• Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
• Ergodic control of linear stochastic equations in a Hilbert space with fractional Brownian motion
• Stochastic Control for Linear Systems Driven by Fractional Noises
• An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
• Necessary optimality conditions for quasi-singular controls for systems with Caputo fractional derivatives
• Linear-quadratic optimal control problems for mean-field stochastic differential equations driven by fractional Brownian motions
• Optimal liquidation with signals: the general propagator case
• Maximum principle for stochastic partial differential system with fractional Brownian motion
• Existence of optimal controls for stochastic Volterra equations
• Solving non-Markovian stochastic control problems driven by Wiener functionals
• The stochastic maximum principle for optimal control problem of jump-diffusion systems with fractional Brownian motion

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