Stochastic control for linear systems driven by fractional noises
文献类型：期刊论文
| 作者 | Hu, YZ; Zhou, XY |
| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 出版日期 | 2005 |
| 卷号 | 43期号:6页码:2245-2277 |
| 关键词 | fractional Brownian motion (FBM) stochastic linear-quadratic (LQ) control Ito integral Stratonovich integral Hu-Meyer formula multiple integral Riccati equation Malliavin derivative |
| 英文摘要 | This paper is concerned with optimal control of stochastic linear systems involving fractional Brownian motion (FBM). First, as a prerequisite for studying the underlying control problems, some new results on stochastic integrals and stochastic differential equations associated with FBM are established. Then, three control models are formulated and studied. In the first two models, the state is scalar-valued and the control is taken as Markovian. Either the problems are completely solved based on a Riccati equation (for model 1, where the cost is a quadratic functional on state and control variables) or optimality is characterized (for model 2, where the cost is a power functional). The last control model under investigation is a general one, where the system involves the Stratonovich integral with respect to FBM, the state is multidimensional, and the admissible controls are not limited to being Markovian. A new Riccati-type equation, which is a backward stochastic differential equation involving both FBM and normal Brownian motion, is introduced. Optimal control and optimal value of the model are explicitly obtained based on the solution to this Riccati-type equation. |
| WOS标题词 | Science & Technology ; Technology ; Physical Sciences |
| 类目[WOS] | Automation & Control Systems ; Mathematics, Applied |
| 研究领域[WOS] | Automation & Control Systems ; Mathematics |
| 关键词[WOS] | CONTROL WEIGHT COSTS ; BROWNIAN-MOTION ; DIFFERENTIAL-EQUATIONS ; QUADRATIC REGULATORS ; CALCULUS |
| 收录类别 | SCI |
| 语种 | 英语 |
| WOS记录号 | WOS:000229826600018 |
| 公开日期 | 2015-07-28 |
| 源URL | [http://ir.wipm.ac.cn/handle/112942/4484]  |
| 专题 | 武汉物理与数学研究所_2011年以前论文发表（包括2011年） |
| 作者单位 | 1.Univ Kansas, Dept Math, Lawrence, KS 66045 USA 2.Chinese Acad Sci, Wuhan Inst Phys & Math, Wuhan 430071, Peoples R China 3.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Hu, YZ,Zhou, XY. Stochastic control for linear systems driven by fractional noises[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2005,43(6):2245-2277. |
| APA | Hu, YZ,&Zhou, XY.(2005).Stochastic control for linear systems driven by fractional noises.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,43(6),2245-2277. |
| MLA | Hu, YZ,et al."Stochastic control for linear systems driven by fractional noises".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 43.6(2005):2245-2277. |
入库方式： OAI收割
来源：武汉物理与数学研究所
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