Gauss-Volterra processes

Friday, May 11, 2018 - 10:00am - 10:50am
Bozenna Pasik-Duncan (University of Kansas)
Some control problems are explicitly solved for bilinear evolution equations where the noise is a Gauss-Volterra process. The Gauss-Volterra noise processes are obtained from the integral of a Brownian motion with a suitable kernel function. These noise processes include fractional Brownian motions with Hurst parameter from (1/2, 1), Liouville fractional Brownian motions with H from (1/2, 1(, and some multi fractional Brownian motions. The controls are chosen from the family of linear feedback gains.
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