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.

引用

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页码：203 / 219

页数：17

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