Optimal tracking for bilinear stochastic system driven by fractional Brownian motions

DOI10.1007/s11424-012-9254-xzbMath1303.93188OpenAlexW2049177647MaRDI QIDQ488886

Yaozhong Hu, Chang-Li Yang

Publication date: 27 January 2015

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-9254-x

zbMATH Keywords

fractional Brownian motionbilinear stochastic systemoptimal Markov feedback control

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Brownian motion (60J65) Optimal stochastic control (93E20)

Cites Work

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• Integral transformations and anticipative calculus for fractional Brownian motions
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• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion