Optimal Control for Non-Homogeneous Linear Systems Driven by Fractional Noises

DOI10.1080/07362990903546470zbMath1190.93109OpenAlexW2087444259MaRDI QIDQ5305280

Alexandros A. Zimbidis

Publication date: 19 March 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990903546470

zbMATH Keywords

Malliavin derivativeIto integralfractional Brownian motion (fBm)stochastic linear-quadratic (LQ) control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Stochastic integration with respect to fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• A General Fractional White Noise Theory And Applications To Finance
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Fractional Brownian Motions, Fractional Noises and Applications

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