Stochastic linear quadratic optimal control problem for systems driven by fractional Brownian motions

DOI10.1002/OCA.2523zbMath1425.93301OpenAlexW2952908549WikidataQ127631604 ScholiaQ127631604MaRDI QIDQ5241056

Yuecai Han, Yifang Sun

Publication date: 29 October 2019

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2523

zbMATH Keywords

fractional Brownian motionstochastic maximum principlebackward stochastic differential equationstochastic linear quadratic optimal control

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic calculus of variations and the Malliavin calculus (60H07) Control/observation systems governed by ordinary differential equations (93C15)

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