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Reports (Research Report) Year : 2002

About the linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation

Abstract

In this report we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes a quadratic performance criterion.
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Dates and versions

inria-00072230 , version 1 (23-05-2006)

Identifiers

  • HAL Id : inria-00072230 , version 1

Cite

Marina Kleptsyna, Alain Le Breton, Michel Viot. About the linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation. [Research Report] RR-4358, INRIA. 2002. ⟨inria-00072230⟩
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