About the linear-quadratic regulator problem under a fractional Brownian perturbation
Open Access
- 1 March 2003
- journal article
- research article
- Published by EDP Sciences in ESAIM: Probability and Statistics
- Vol. 7, 161-170
- https://doi.org/10.1051/ps:2003007
Abstract
In this paper 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.Keywords
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