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

Pavel S. Knopov; Elena N. Derieva

doi:10.1615/JAutomatInfScien.v42.i7.60

Journal of Automation and Information Sciences

Chefredakteur: Arkadiy A. Chikriy (open in a new tab)

Mitherausgebers: Vyacheslav F. Gubarev (open in a new tab) Yuriy P. Kondratenko (open in a new tab) Nonna V. Turovyerova (open in a new tab)

Erscheint 12 Ausgaben pro Jahr

ISSN Druckformat: 1064-2315

ISSN Online: 2163-9337

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

Volumen 42, Ausgabe 7, 2010, pp. 78-83

DOI: 10.1615/JAutomatInfScien.v42.i7.60

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Pavel S. Knopov
V. M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Ukraine

Elena N. Derieva
V. M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Ukraine

ABSTRAKT

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).

SCHLÜSSELWÖRTER: sufficient conditions, existence, optimal strategy of control, stochastic differential equation, additive fractional Brownian process, Hurst parameter

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