Optimal And Adaptive Control of Stochastic Systems
Abstract
A major focus of the research of this grant has been the control of stochastic systems with a large family of noise processes that are important for modeling and that have not previously been used or solved for control problems. Among these noise processes are the family of fractional Brownian motions. While Brownian motion is included in this family, all of the other members are neither semimartingales nor Markov processes. Thus the usual stochastic calculus or the methods from Markov processes cannot be used. However, empirical data in a wide variety of physical phenomena, such as turbulence and telecommunications, provides evidence of the necessity for using these fractional Brownian motions in mathematical models. Thus it is important to consider control systems that are driven by an arbitrary fractional Brownian motion.
Document Details
- Document Type
- Technical Report
- Publication Date
- Feb 11, 2012
- Accession Number
- ADA567576
Entities
People
- Bozenna Pasik-duncan
- T. E. Duncan
Organizations
- University of Kansas