An Infinite Time Horizon Linear-Quadratic Control Problem with a Rosenblatt Process
| Autor: | Bohdan Maslowski, Tyrone E. Duncan, Petr Čoupek, Bozenna Pasik-Duncan |
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| Rok vydání: | 2018 |
| Předmět: |
Continuous stochastic process
Statistics::Theory 0209 industrial biotechnology Optimal cost Scalar (mathematics) Feedback form Time horizon 02 engineering and technology Linear quadratic Optimal control 01 natural sciences 010104 statistics & probability Stochastic differential equation 020901 industrial engineering & automation Applied mathematics 0101 mathematics Mathematics |
| Zdroj: | CDC |
| Popis: | A linear-quadratic optimal control problem with an infinite time horizon for a scalar linear stochastic differential equation with additive Rosenblatt noise is formulated and solved. The Rosenblatt process is a non-Gaussian continuous stochastic process which exhibits self-similarity and long-range dependence. The feedback form of the optimal control and the optimal cost are given explicitly. The main tool used to find the optimal control is an Ito-type formula for a Rosenblatt process with drift. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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