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About the linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation
Abstract : In this report we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes a quadratic performance criterion.
https://hal.inria.fr/inria-00072230
Contributor : Rapport de Recherche Inria <>
Submitted on : Tuesday, May 23, 2006 - 8:10:31 PM
Last modification on : Wednesday, March 10, 2021 - 1:50:03 PM
Long-term archiving on: : Sunday, April 4, 2010 - 10:59:30 PM
Contributor : Rapport de Recherche Inria <>
Submitted on : Tuesday, May 23, 2006 - 8:10:31 PM
Last modification on : Wednesday, March 10, 2021 - 1:50:03 PM
Long-term archiving on: : Sunday, April 4, 2010 - 10:59:30 PM