An Infinite-Dimensional Fractional Linear Quadratic Regulator Problem

被引：0
|
作者：
Grecksch, W. [2 ]
Anh, V. V. [1 ]
机构：
[1] Queensland Univ Technol, Sch Math Sci, Brisbane, Qld 4001, Australia
[2] Univ Halle Wittenberg, Inst Math, Halle, Saale, Germany
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2012年 / 30卷 / 02期
关键词：
Controlled stochastic differential equation; Infinite-dimensional stochastic differential equation; Quadratic optimal control; DRIVEN;
D O I：
10.1080/07362994.2012.649618
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a controlled linear stochastic infinite-dimensional differential equation with an additive fractional Brownian motion as noise input. An optimal closed-loop control is determined in the case of complete state information and a quadratic goal functional.
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页码：203 / 219
页数：17
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