A problem of control of random processes

DOI10.1023/B:CASA.0000028105.66907.BCMaRDI QIDQ557481zbMATH OpenFDO

Authors E. N. Derieva, T. V. Pepelyaeva

Publication date 30 June 2005

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/B:CASA.0000028105.66907.BC

zbMATH Keywords

\(\varepsilon\)-optimal controlfractional Brownian motionfractional Wiener processHurst parameterItô formulaoptimal controlstochastic differential equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) General theory of stochastic processes (60G07) Gaussian processes (60G15) Optimal stochastic control (93E20)

Cited in

(11)

• A problem of optimal control of a stochastic sheet
• Deterministic control of randomly-terminated processes
• Controlling the solution of stochastic differential equations on a plane with additive fractional Brownian motion
• scientific article; zbMATH DE number 4176959 (Why is no real title available?)
• ON THE EXISTENCE OF A SOLUTION IN A PROBLEM OF CONTROLLING A COUNTING PROCESS
• scientific article; zbMATH DE number 4210035 (Why is no real title available?)
• scientific article; zbMATH DE number 4041017 (Why is no real title available?)
• scientific article; zbMATH DE number 651946 (Why is no real title available?)
• Controlled stochastic systems
• Some applied problems of the theory of controlled random processes
• Control of spatially structured random processes and random fields with applications.

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