Abstract
Abstract : The primary goal of this research has been the optimal control of linear and nonlinear systems driven by fractional Brownian motions and other stochastic processes. For the control of both continuous time and discrete time finite dimensional linear systems with quadratic cost functionals and arbitrary noise processes with finite second moments, explicit optimal controls are determined. Linear-quadratic control problems for stochastic partial differential equations driven by fractional Brownian motions are explicitly solved. For the control of a continuous time linear systems with Brownian motion or a discrete time linear system with a white Gaussian noise and costs that are the exponential of quadratic functionals are solved in a simple, direct way.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
