Accession Number:

ADA614716

Title:

Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

Descriptive Note:

Final rept. 1 Jul 2010-30 Jun 2014

Corporate Author:

KANSAS UNIV LAWRENCE

Report Date:

2014-10-09

Pagination or Media Count:

8.0

Abstract:

The primary goal of this research has been the optimal control of linear and nonlinear systems driven by fractional Brownian motions and other stochastic processes. For the control of both continuous time and discrete time finite dimensional linear systems with quadratic cost functionals and arbitrary noise processes with finite second moments, explicit optimal controls are determined. Linear-quadratic control problems for stochastic partial differential equations driven by fractional Brownian motions are explicitly solved. For the control of a continuous time linear systems with Brownian motion or a discrete time linear system with a white Gaussian noise and costs that are the exponential of quadratic functionals are solved in a simple, direct way.

Subject Categories:

  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE