Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
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Publication:5190278
DOI10.1051/ps:2007046zbMath1185.93134OpenAlexW2146487188MaRDI QIDQ5190278
M. Viot, Alain Le Breton, Marina Kleptsyna
Publication date: 15 March 2010
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/104412
optimal controllinear systemfractional Brownian motionseparation principleoptimal filteringquadratic payoff
Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)
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Cites Work
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