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...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2005
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