A problem of control of random processes
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Publication:557481
DOI10.1023/B:CASA.0000028105.66907.BCzbMath1073.93057MaRDI QIDQ557481
E. N. Derieva, T. V. Pepelyaeva
Publication date: 30 June 2005
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
optimal controlstochastic differential equationfractional Brownian motionItô formulaHurst parameterfractional Wiener process\(\varepsilon\)-optimal control
Gaussian processes (60G15) Optimal stochastic control (93E20) General theory of stochastic processes (60G07) Existence of optimal solutions to problems involving randomness (49J55)
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