The Stochastic LQR Optimal Control with Fractional Brownian Motion
DOI10.1007/978-3-319-51911-1_8zbMath1385.49018OpenAlexW2611430382MaRDI QIDQ4607777
Hermann Mena, Tijana Levajković, Amjad M. Tuffaha
Publication date: 14 March 2018
Published in: Generalized Functions and Fourier Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-51911-1_8
fractional Brownian motionMalliavin calculusRiccati equationlinear quadratic regulator (LQR)stochastic optimal control problemfractional space
Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45)
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