Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations
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arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866929644433833984 |
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| author | Han, Yuecai Li, Yuhang |
| author_facet | Han, Yuecai Li, Yuhang |
| contents | In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the constructed white noises. The solution of the backward stochastic difference equations is also investigated. As an application, the linear quadratic case is considered to illustrate the main results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_16821 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations Han, Yuecai Li, Yuhang Optimization and Control In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the constructed white noises. The solution of the backward stochastic difference equations is also investigated. As an application, the linear quadratic case is considered to illustrate the main results. |
| title | Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2412.16821 |