LP-stabilization problem for linear stochastic control systems with multiplicative noise (Q1102919): Difference between revisions

For the deterministic case, a controlled system is always stable as long as we use the control obtained as the solution of a so-called LQ-problem. For the stochastic case, however, a controlled system with multiplicative noise is not always pth mean stable for large p, even if we use the LQ- optimal control. Hence, it is meaningful to solve the LP-optimal control problem (i.e., linear system, pth order cost functional) for each p. In this paper, we define the LP-optimal control problem and completely solve it for the scalar case. For the multidimensional case, we get some results, but the general solution of this problem seems to be impossible. So, we consider the pth mean stabilization problem more intensively and give a sufficient condition for the existence of a pth mean stabilizing control by using the contraction mapping method in a Hilbert space. Some examples are also given.