Accession Number : AD1050308

Title :   Studies in the Control of Stochastic Systems

Descriptive Note : Technical Report,07 Jul 2014,31 Jul 2017

Corporate Author : University of Kansas Lawrence United States

Personal Author(s) : Pasik-Duncan,Bozenna ; Duncan,Tyrone E

Full Text :

Report Date : 31 Oct 2017

Pagination or Media Count : 21

Abstract : The research supported by this ARO grant has focused on the control of continuous time stochastic systems with noise that is Brownian motions or fractional Brownian motions, the control of discrete time stochastic systems with arbitrary correlated noise and stochastic differential games. In modeling physical systems the perturbations or the unmodeled dynamics are typically represented by an additive noise perturbation of the mathematical model. Such modeling has been quite effective in a variety of physical systems. Some important examples are space exploration and telecommunications. Historically the continuous noise has been modeled by a Brownian motion which was identified in the physics literature in the beginning of the twentieth century by Einstein and Smoluchowski. However based on empirical data from many physical phenomena it has been verified that other noise models are often required. One family of stochastic models that have been identified empirically is the family of fractional Brownian motions.

Descriptors :   stochastic processes , brownian motion , mathematical models , stochastic control

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE