Separation principle in the fractional gaussian linear-quadratic regulator problem with partial observation
ESAIM: Probability and Statistics, Tome 12 (2008), pp. 94-126.

In this paper we solve the basic fractional analogue of the classical linear-quadratic gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, i.e., the optimal control separates into two stages based on optimal filtering of the unobservable state and optimal control of the filtered state. Both finite and infinite time horizon problems are investigated.

DOI : https://doi.org/10.1051/ps:2007046
Classification : 93E11,  93E20,  60G15,  60G44
Mots clés : fractional brownian motion, linear system, optimal control, optimal filtering, quadratic payoff, separation principle
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     author = {Kleptsyna, Marina L. and Breton, Alain Le and Viot, Michel},
     title = {Separation principle in the fractional gaussian linear-quadratic regulator problem with partial observation},
     journal = {ESAIM: Probability and Statistics},
     pages = {94--126},
     publisher = {EDP-Sciences},
     volume = {12},
     year = {2008},
     doi = {10.1051/ps:2007046},
     zbl = {1136.93463},
     mrnumber = {2374634},
     language = {en},
     url = {http://www.numdam.org/articles/10.1051/ps:2007046/}
}
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Kleptsyna, Marina L.; Breton, Alain Le; Viot, Michel. Separation principle in the fractional gaussian linear-quadratic regulator problem with partial observation. ESAIM: Probability and Statistics, Tome 12 (2008), pp. 94-126. doi : 10.1051/ps:2007046. http://www.numdam.org/articles/10.1051/ps:2007046/

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