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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron: Yaozhong, H, Zhou, X
Fformat: Journal article
Iaith:English
Cyhoeddwyd: 2005