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dc.contributor.authorDuncan, Tyrone E.
dc.contributor.authorMaslowski, Bozenna J.
dc.contributor.authorPasik-Duncan, Bozenna
dc.date.accessioned2015-02-17T20:28:07Z
dc.date.available2015-02-17T20:28:07Z
dc.date.issued2012-01-01
dc.identifier.citationDuncan, Tyrone E. "Linear-quadratic control for stochastic equations in a Hilbert space with a fractional Brownian motion." SIAM J. Control Optim. (2012) 50 , 1. 507-531. http://www.dx.doi.org/10.1137/110831416.en_US
dc.identifier.urihttp://hdl.handle.net/1808/16690
dc.descriptionThis is the published version, also available here: http://dx.doi.org/10.1137/110831416.en_US
dc.description.abstractA linear-quadratic control problem with a finite time horizon for some infinite-dimensional controlled stochastic differential equations driven by a fractional Gaussian noise 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 deterministic linear-quadratic control problem and a suitable prediction of the adjoint optimal system response to the future noise. The covariance of the noise as well as the control operator in the system equation can in general be unbounded, so the results can also be applied where the noise or the control are on the boundary of the domain or at discrete points in the domain. Some examples of controlled stochastic partial differential equations are given.en_US
dc.publisherSociety for Industrial and Applied Mathematicsen_US
dc.subjectlinear-quadratic controlen_US
dc.subjectfractional Brownian motionen_US
dc.subjectstochastic partial differential equationsen_US
dc.titleLinear-quadratic control for stochastic equations in a Hilbert space with a fractional Brownian motionen_US
dc.typeArticle
kusw.kuauthorDuncan, Tyrone E.
kusw.kudepartmentMathematicsen_US
dc.identifier.doi10.1137/110831416
kusw.oaversionScholarly/refereed, publisher version
kusw.oapolicyThis item meets KU Open Access policy criteria.
dc.rights.accessrightsopenAccess


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