Abstract
In this paper, the solution of stochastic linear quadratic optimal control problem of nonhomogeneous vector differential equation driven by fractional Brownian motion of Hurst parameter \( H(>0.5)\) is established. A stochastic Riccati equation is derived by considering adjoint equations satisfying backward stochastic differential equations. The feedback form of the optimal control and the optimal cost are derived using completion of squares technique. The results established are illustrated with examples.
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Authors profusely thank the editor and anonymous reviewers for their valuable suggestions to improve the quality of the paper.
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Madhuri, S., Deekshitulu, G.V.S.R. Linear quadratic optimal control of nonhomogeneous vector differential equations with FBM. Int. J. Dynam. Control 6, 1298–1309 (2018). https://doi.org/10.1007/s40435-017-0366-y
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DOI: https://doi.org/10.1007/s40435-017-0366-y
Keywords
- Stochastic differential equation
- Fractional Brownian motion
- Linear quadratic optimal control
- Riccati equation
- Completion of squares