3 papers
math.OC2024
Linear Filtering for Discrete Time Systems Driven by Fractional Noises
Yuecai Han, Yuhang Li
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We cons…
math.OC2024
Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations
Yuecai Han, Yuhang Li
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…
math.OC2024
Stochastic Maximum Principle for Control System with Time-varying delay
Yuhang Li, Yuecai Han
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochasti…