Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function

DOI10.1007/BF02831970zbMATH Open1111.49014MaRDI QIDQ874339FDOQ874339

Authors: Guy Jumarie 

Publication date: 5 April 2007

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

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zbMATH Keywords

Mittag-Leffler functionfractional derivativeoptimal controlHamilton-Jacobi equationfractional partial differential equationdynamical programmingfractional Taylor's series

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving partial differential equations (49K20) Dynamic programming in optimal control and differential games (49L20) Self-similar stochastic processes (60G18)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Stochastic analysis of the fractional Brownian motion
• On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• Stochastic differential equations with fractional Brownian motion input
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
• Taylor’s Series Generalized for Fractional Derivatives and Applications
• Alternative micropulses and fractional Brownian motion
• A class of micropulses and antipersistent fractional Brownian motion
• A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

Cited In (22)

• The extended trial equation method for some time fractional differential equations
• A generalized Tu formula and Hamiltonian structures of fractional AKNS hierarchy
• The fractional supertrace identity and its application to the super Jaulent-Miodek hierarchy
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
• Fractional calculus of variations for a combined Caputo derivative
• Fractional conservation laws in optimal control theory
• A fractional calculus of variations for multiple integrals with application to vibrating string
• A new approach on fractional variational problems and Euler-Lagrange equations
• Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems
• The modified trial equation method for fractional wave equation and time fractional generalized Burgers equation
• The stability of solutions for a fractional predator-prey system
• Two novel approaches to capture the maximum power from variable speed wind turbines using optimal fractional high-order fast terminal sliding mode control
• Noether symmetries and conserved quantities for fractional Birkhoffian systems
• On fractional variational problems which admit local transformations
• Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• Dynamic programming strategy based on a type-2 fuzzy wavelet neural network
• Noether's theorem for fractional variational problem from El-Nabulsi extended exponentially fractional integral in phase space
• Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
• Noether symmetries for fractional generalized Birkhoffian systems in terms of classical and combined Caputo derivatives
• Noether symmetries and conserved quantities for fractional Birkhoffian systems with time delay
• Fractional Noether theorem based on extended exponentially fractional integral

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