BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability

DOI10.1016/J.SYSCONLE.2012.11.021zbMath1261.93086OpenAlexW1983195252MaRDI QIDQ1949129

Yan Qing Wang

Publication date: 25 April 2013

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2012.11.021

zbMATH Keywords

controllabilityLévy processesRiesz representation theoremfixed-point theoremrandom jumpsmartingale representation theorembackward stochastic differential equations (BSDEs)transposition solutionBSDEs with general filtrationcorresponding well-posednessKalman-type rank conditionstochastic linear control system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Linear systems in control theory (93C05)

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Stochastic minimum-energy control ⋮ Switching controls for linear stochastic differential systems ⋮ Exact controllability of stochastic differential equations with memory ⋮ Backward stochastic differential equations with unbounded generators ⋮ A stochastic Fubini theorem: BSDE method ⋮ The Norm Optimal Control Problem for Stochastic Linear Control Systems

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