Czasopismo
Tytuł artykułu
Warianty tytułu
Języki publikacji
Abstrakty
A linear-quadratic control problem with an infinite time horizon for some infinite dimensional controlled stochastic differential equations driven by a fractional Brownian motion is formulated and solved. The feedback form of the optimal control and the optimal cost are given explicitly. The optimal control is the sum of the well known linear feedback control for the associated infinite dimensional deterministic linear-quadratic control problem and a suitable prediction of the adjoint optimal system response to the future noise. Some examples of controlled stochastic partial differential equations that satisfy the problem formulation are given.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
91-102
Opis fizyczny
Daty
wydano
2015
Twórcy
autor
- Department of Mathematics, University of Kansas, Lawrence, KS 66045, USA
autor
- Charles University in Prague, Faculty of Mathematics and Physics, Sokolovska 83, 186 75 Prague 8, Czech Republic
autor
- Department of Mathematics, University of Kansas, Lawrence, KS 66045, USA
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-bc105-0-7