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Optimal tracking for bilinear stochastic system driven by fractional Brownian motions

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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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Author information

Authors and Affiliations

  1. College of Science, Wuhan University of Science and Technology, Wuhan, 430081, China

    Yaozhong Hu

  2. Department of Mathematics, University of Kansas, Lawrence, Kansas, 66045, USA

    Yaozhong Hu

  3. School of Information Science and Technology, East China Normal University, Shanghai, 200241, China

    Changli Yang

Authors
  1. Yaozhong Hu
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  2. Changli Yang
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Corresponding author

Correspondence to Yaozhong Hu.

Additional information

This research is partially supported by a grant from the Simons Foundation #209206.

This paper was recommended for publication by Editor Jifeng ZHANG.

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Hu, Y., Yang, C. Optimal tracking for bilinear stochastic system driven by fractional Brownian motions. J Syst Sci Complex 25, 238–248 (2012). https://doi.org/10.1007/s11424-012-9254-x

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  • DOI: https://doi.org/10.1007/s11424-012-9254-x

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