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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2008

Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation

Résumé

In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, i.e., the optimal control separates into two stages based on optimal filtering of the unobservable state and optimal control of the filtered state. Both finite and infinite time horizon problems are investigated.

Dates et versions

hal-00853128 , version 1 (22-08-2013)

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Marina L. Kleptsyna, Alain Le Breton, Michel Viot. Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation. ESAIM: Probability and Statistics, 2008, 12, pp.94-126. ⟨10.1051/ps:2007046⟩. ⟨hal-00853128⟩
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