Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

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.

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Document Details

Document Type
Technical Report
Publication Date
Oct 09, 2014
Accession Number
ADA614716

Entities

People

  • Bozenna Pasik-duncan
  • T. E. Duncan

Organizations

  • University of Kansas

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Agreements
  • Brownian Motion
  • Department Of Defense
  • Differential Equations
  • Engineering
  • Equations
  • Ergodic Processes
  • Hilbert Space
  • Information Theory
  • Linear Systems
  • Mathematics
  • Nonlinear Systems
  • Partial Differential Equations
  • Stochastic Control
  • Stochastic Processes
  • Students

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.