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Ergodic control of linear stochastic equations in a Hilbert space with fractional Brownian motion

Tyrone E. Duncan, B. Maslowski, B. Pasik-Duncan (2015)

Banach Center Publications

A linear-quadratic control problem with an infinite time horizon for some infinite dimensional controlled stochastic differential equations driven by a fractional Brownian motion is formulated and solved. The feedback form of the optimal control and the optimal cost are given explicitly. The optimal control is the sum of the well known linear feedback control for the associated infinite dimensional deterministic linear-quadratic control problem and a suitable prediction of the adjoint optimal system...

Extrapolation in fractional autoregressive models

Jiří Anděl, Georg Neuhaus (1998)

Kybernetika

The naïve and the least-squares extrapolation are investigated in the fractional autoregressive models of the first order. Some explicit formulas are derived for the one and two steps ahead extrapolation.

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