On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
Author:
Publisher
EDP Sciences
Subject
Statistics and Probability
Link
http://www.esaim-ps.org/10.1051/ps:2005008/pdf
Reference19 articles.
1. A stochastic maximum principle for processes driven by fractional Brownian motion
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3. M.H.A. Davis,Linear Estimation and Stochastic Control. Chapman and Hall, New York (1977).
4. Stochastic Calculus for Fractional Brownian Motion I. Theory
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