# 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 (2005)

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

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topKleptsyna, Marina L., Breton, Alain Le, and Viot, Michel. "On the infinite time horizon linear-quadratic regulator problem under a fractional brownian perturbation." ESAIM: Probability and Statistics 9 (2005): 185-205. <http://eudml.org/doc/245605>.

@article{Kleptsyna2005,

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., Breton, Alain Le, Viot, Michel},

journal = {ESAIM: Probability and Statistics},

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

language = {eng},

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/245605},

volume = {9},

year = {2005},

}

TY - JOUR

AU - Kleptsyna, Marina L.

AU - Breton, Alain Le

AU - Viot, Michel

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

JO - ESAIM: Probability and Statistics

PY - 2005

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; Fractional Brownian motion

UR - http://eudml.org/doc/245605

ER -

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