Optimal tracking for bilinear stochastic system driven by fractional Brownian motions |
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| Authors: | Yaozhong Hu Changli Yang |
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| Institution: | Department of Mathematics, University of Kansas,Lawrence,Kansas 66045,USA. Changli YANG School of Information Science and Technology,East China Normal University,Shanghai 200241,China. |
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| Abstract: | This paper discusses a problem of optimal tracking for a linear control system driven by fractional Brownian motion. An equation
is obtained for the linear Markov feedback control. The existence and uniqueness of the solution to the equation are also
studied. |
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| Keywords: | |
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