Abstract
In this paper some stochastic systems are considered that are described by stochastic differential equations with a fractional Brownian motion. The notion of a weak solution is introduced and obtained by a transformation of the measure for a fractional Brownian motion by a Radon-Nikodym derivative. This weak solution approach is used to solve a control problem for a controlled stochastic differential equation with a fractional Brownian motion and to verify the existence of an optimal control. An estimation problem for a stochastic signal observed with an additive fractional Brownian motion is formulated and solved. The conditional expectation which solves this problem is exhibited explicitly.
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 callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
