Optimal control with delayed information flow of systems driven by G-Brownian motion

On Delayed Logistic Equation Driven by Fractional Brownian Motion

In this paper we use the fractional stochastic integral given by Carmona et al. [1] to study a delayed logistic equation driven by fractional Brownian motion which is a generalization of the classical delayed logistic equation . We introduce an approximate method to find the explicit expression for the solution. Our proposed method can also be applied to the other models and to illustrate this,...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Flow properties of differential equations driven by fractional Brownian motion

We prove that solutions of stochastic differential equations driven by fractional Brownian motion for H > 1/2 define flows of homeomorphisms on R. AMS Subject Classification: 60H05, 60H07

Optimal Control of a Stochastic Processing System Driven by a Fractional Brownian Motion Input

We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON–OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite-horizondiscounted cost, and thefinite-horizon cost. In addition, wefind a solution to a constrained minimization problem as an applicati...

Optimal control of a stochastic network driven by a fractional Brownian motion input

We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON-OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite horizon discounted cost, and the finite horizon cost. In addition, we find a solution to a constrained minimization problem as an applic...