# On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation

Marina L. Kleptsyna; Alain Le Breton; Michel Viot

ESAIM: Probability and Statistics (2010)

- Volume: 9, page 185-205
- ISSN: 1292-8100

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topKleptsyna, Marina L., Le Breton, Alain, and Viot, Michel. "On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation." ESAIM: Probability and Statistics 9 (2010): 185-205. <http://eudml.org/doc/104329>.

@article{Kleptsyna2010,

abstract = {
In this paper we solve the basic fractional
analogue of the classical infinite time horizon linear-quadratic Gaussian
regulator problem. For a completely observable controlled linear
system driven by a fractional Brownian motion, we describe
explicitely the optimal control policy which minimizes an
asymptotic quadratic performance criterion.
},

author = {Kleptsyna, Marina L., Le Breton, Alain, Viot, Michel},

journal = {ESAIM: Probability and Statistics},

keywords = {Fractional Brownian motion; linear system;
optimal control; quadratic payoff; infinite time.; optimal control; infinite time},

language = {eng},

month = {3},

pages = {185-205},

publisher = {EDP Sciences},

title = {On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation},

url = {http://eudml.org/doc/104329},

volume = {9},

year = {2010},

}

TY - JOUR

AU - Kleptsyna, Marina L.

AU - Le Breton, Alain

AU - Viot, Michel

TI - On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation

JO - ESAIM: Probability and Statistics

DA - 2010/3//

PB - EDP Sciences

VL - 9

SP - 185

EP - 205

AB -
In this paper we solve the basic fractional
analogue of the classical infinite time horizon linear-quadratic Gaussian
regulator problem. For a completely observable controlled linear
system driven by a fractional Brownian motion, we describe
explicitely the optimal control policy which minimizes an
asymptotic quadratic performance criterion.

LA - eng

KW - Fractional Brownian motion; linear system;
optimal control; quadratic payoff; infinite time.; optimal control; infinite time

UR - http://eudml.org/doc/104329

ER -

## References

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