Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 261
Markovian lift for robust control of misspecified non-Markovian Gaussian SDE
Hidekazu Yoshioka, Yumi Yoshioka
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
January 29, 2022
March 03, 2230
April 15, 2230

Abstract: Markovian lift is a novel mathematical technique to embed a non-Markovian process to a Markovian one at the sacrifice of increasing the degree-of-freedom [1]. We consider a new optimal control problem of a non-Markovian linear stochastic differential equation (SDE) modeling river water temperature with its application to fisheries. Applying a Markovian lift to the SDE successfully leads to a system of finite-dimensional Markovian SDEs being consistent with the original one in the sense of law. This Markovian lift also enables us to obtain a numerically computable operator Riccati equation ...