Filtering for Linear Systems Driven by Fractional Brownian Motion

DOI10.1137/S0363012900368715zbMath1102.93325OpenAlexW2176802331MaRDI QIDQ4537835

Charalambos D. Charalambous, Nasir Uddin Ahmed

Publication date: 23 June 2002

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012900368715

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimality conditions for problems involving randomness (49K45) Stochastic analysis (60H99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (6)

Some necessary optimality conditions for systems with fractional Caputo derivatives ⋮ Necessary optimality conditions for quasi-singular controls for systems with Caputo fractional derivatives ⋮ Necessary and sufficient optimality conditions for fractional Fornasini-Marchesini model ⋮ Abstract functional stochastic evolution equations driven by fractional Brownian motion ⋮ On the characteristics of a class of Gaussian processes within the white noise space setting ⋮ Optimality conditions of singular controls for systems with Caputo fractional derivatives

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