Volume 9, June 2005
|Page(s)||185 - 205|
|Published online||15 November 2005|
On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
Laboratoire de Statistique
et Processus, Université du Maine, av. Olivier Messiaen, 72085
Le Mans Cedex 9, France; firstname.lastname@example.org
2 Laboratoire de Modélisation et Calcul, Université J. Fourier, BP 53, 38041 Grenoble Cedex 9, France; Alain.Le-Breton@imag.fr
In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic Gaussian regulator problem. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
Mathematics Subject Classification: 60G15 / 60G44 / 93E20
Key words: Fractional Brownian motion / linear system / optimal control / quadratic payoff / infinite time.
© EDP Sciences, SMAI, 2005
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.