Stochastic control for linear systems driven by fractional noises

This paper is concerned with optimal control of stochastic linear systems involving fractional Brownian motion (FBM). First, as a prerequisite for studying the underlying control problems, some new results on stochastic integrals and stochastic differential equations associated with FBM are establis...

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Bibliografische gegevens
Hoofdauteurs: Yaozhong, H, Zhou, X
Formaat: Journal article
Taal:English
Gepubliceerd in: 2005