On the Control Problem for Solution of Stochastic Differential Equation with Additive Fractional Brownian Motion

P.S. Knopov; E.N. Derieva

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On the Control Problem for Solution of Stochastic Differential Equation with Additive Fractional Brownian Motion

机译：具有分数阶布朗运动的随机微分方程解的控制问题

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摘要

Sufficient conditions for existence of optimal strategy of control of solution of the stochastic differential equation, which includes additive fractional Brownian process with the Hurst parameter belonging to the interval (0, 1/2).

机译：随机微分方程解的最优控制策略存在的充分条件，该条件包括加性分数布朗过程，其Hurst参数属于区间（0，1/2）。

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来源
《Journal of automation and information sciences》 |2010年第7期|p.78-83|共6页
作者
P.S. Knopov; E.N. Derieva;
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作者单位

V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev;

rnV.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev;

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收录信息美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
sufficient conditions; existence; optimal strategy of control; stochastic differential equation; additive fractional brownian process; hurst parameter;

机译：足够的条件;存在;最佳控制策略;随机微分方程加性分数布朗过程;hurst参数;

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1. CONTROLLING THE SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A PLANE WITH ADDITIVE FRACTIONAL BROWNIAN MOTION [J] . O. M. Deriyeva, S. O. Gerasimenko Cybernetics and Systems Analysis . 2012,第6期

机译：带分数阶布朗运动的平面上的随机微分方程的控制
2. The Existence, Uniqueness, and Controllability of Neutral Stochastic Delay Partial Differential Equations Driven by Standard Brownian Motion and Fractional Brownian Motion [J] . Dehao Ruan, Jiaowan Luo Discrete dynamics in nature and society . 2018,第4期

机译：由标准布朗运动和分数布朗运动驱动的中立随机时滞偏微分方程的存在性，唯一性和可控制性
3. The Existence, Uniqueness, and Controllability of Neutral Stochastic Delay Partial Differential Equations Driven by Standard Brownian Motion and Fractional Brownian Motion [J] . Dehao Ruan, Jiaowan Luo Discrete dynamics in nature and society . 2018,第Pta1期

机译：标准布朗运动和分数布朗运动驱动中立随机延迟偏微分方程的存在，唯一性和可控性
4. Weak solution for backward stochastic differential equations driven by fractional brownian motion [C] . Yanqing Xiao, Jiezhong Zou 2011 International Conference on Multimedia Technology . 2011

机译：分数布朗运动驱动的后向随机微分方程的弱解
5. Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes. [D] . Song, Xiaoming. 2011

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6. Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications [O] . Xiao-Li Ding, Juan J. Nieto 2018

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7. RATE OF CONVERGENCE OF EULER APPROXIMATIONS OF SOLUTION TO MIXED STOCHASTIC DIFFERENTIAL EQUATION INVOLVING BROWNIAN MOTION AND FRACTIONAL BROWNIAN MOTION [O] . Yuliya S. Mishura, Georgiy, M. Shevchenko, 2016

机译：参与布朗运动和分数布朗运动的混合随机微分方程解的Euler逼近的收敛速度

On the Control Problem for Solution of Stochastic Differential Equation with Additive Fractional Brownian Motion

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