Exact Controllability Of Linear Stochastic Differential Equations And Related Problems

Keywords

Controlled stochastic differential equation; Lp-exact controllability; Norm optimal control problem; Observability inequality

Abstract

A notion of Lp-exact controllability is introduced for linear controlled (forward) stochastic differential equations with random coefficients. Several sufficient conditions are established for such kind of exact controllability. Further, it is proved that the Lp-exact controllability, the validity of an observability inequality for the adjoint equation, the solvability of an optimization problem, and the solvability of an Lp-type norm optimal control problem are all equivalent.

Publication Date

1-1-2017

Publication Title

Mathematical Control and Related Fields

Volume

7

Issue

2

Number of Pages

305-345

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.3934/mcrf.2017011

Socpus ID

85018818352 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/85018818352

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