An Infinite Time Horizon Linear-Quadratic Control Problem with a Rosenblatt Process

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10389608" target="_blank" >RIV/00216208:11320/18:10389608 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1109/CDC.2018.8619402" target="_blank" >https://doi.org/10.1109/CDC.2018.8619402</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/CDC.2018.8619402" target="_blank" >10.1109/CDC.2018.8619402</a>

Result language
angličtina
Original language name
An Infinite Time Horizon Linear-Quadratic Control Problem with a Rosenblatt Process
Original language description
A linear-quadratic optimal control problem with an infinite time horizon for a scalar linear stochastic differential equation with additive Rosenblatt noise is formulated and solved. The Rosenblatt process is a non-Gaussian continuous stochastic process which exhibits self-similarity and long-range dependence. The feedback form of the optimal control and the optimal cost are given explicitly. The main tool used to find the optimal control is an Itô-type formula for a Rosenblatt process with drift.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
2018 IEEE Conference on Decision and Control (CDC)
ISBN
978-1-5386-1395-5
ISSN
2576-2370
e-ISSN
neuvedeno
Number of pages
5
Pages from-to
4973-4977
Publisher name
IEEE
Place of publication
Neuveden
Event location
Miami Beach, Florida
Event date
Dec 17, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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