Control of some partially observed linear stochastic systems with fractional Brownian motions

2011 ◽  
Author(s):  
T. E. Duncan ◽  
B. Pasik-Duncan
Keyword(s):  
Stochastic Systems ◽  
Brownian Motions ◽  
Fractional Brownian Motions ◽  
Partially Observed ◽  
Linear Stochastic Systems

Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

2014 ◽  
Author(s):  
Tyrone E. Duncan ◽  
Bozenna Pasik-Duncan
Keyword(s):  
Optimal Control ◽  
Stochastic Systems ◽  
Brownian Motions ◽  
Fractional Brownian Motions

scholarly journals Identification of linear stochastic systems based on partial information

1995 ◽  
Vol 8 (3) ◽  
pp. 249-260 ◽  
Author(s):  
N. U. Ahmed ◽  
S. M. Radaideh
Keyword(s):  
Stochastic Systems ◽  
Computational Algorithm ◽  
Partial Information ◽  
Identification Problem ◽  
Covariance Matrices ◽  
Unknown Parameters ◽  
System Parameters ◽  
Partially Observed ◽  
Linear Stochastic Systems ◽  
Deterministic Control

In this paper, we consider an identification problem for a system of partially observed linear stochastic differential equations. We present a result whereby one can determine all the system parameters including the covariance matrices of the noise processes. We formulate the original identification problem as a deterministic control problem and prove the equivalence of the two problems. The method of simulated annealing is used to develop a computational algorithm for identifying the unknown parameters from the available observation. The procedure is then illustrated by some examples.

Adaptive control of partially observed linear stochastic systems

1995 ◽  
Vol 54 (1-2) ◽  
pp. 21-51
Author(s):  
Pierre Bertrand
Keyword(s):  
Adaptive Control ◽  
Stochastic Systems ◽  
Partially Observed ◽  
Linear Stochastic Systems
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