Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions (Q2884606)
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scientific article; zbMATH DE number 6039296
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions |
scientific article; zbMATH DE number 6039296 |
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30 May 2012
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infinite-dimentional stochastic linear-quadratic control problem
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Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions (English)
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The solution of the controlled equation under consideration must be defined in a generalized (mild) sense. An infinite dimensional controlled stochastic differential equation driven by a fractional Gaussian noise is formulated and solved. The feedback form of the optimum is given explicitly. Some examples of controlled SPDEs are given where the control operator can be unbounded.
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