Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems

DOI10.1016/S0005-1098(02)00041-9zbMath1006.93005WikidataQ115340666 ScholiaQ115340666MaRDI QIDQ1614409

Shige Peng, Yazeng Liu

Publication date: 5 September 2002

Published in: Automatica (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equation; controllability; stochastic system; exponential convergence; index assignment; infinite horizon forward-backward stochastic differential equations

Mathematics Subject Classification ID

93B05: Controllability

93E20: Optimal stochastic control

93E15: Stochastic stability in control theory

93E03: Stochastic systems in control theory (general)

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Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems, Controllability Properties of Linear Mean-Field Stochastic Systems, Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes, Stochastic minimum-energy control, Spectral tests for observability and detectability of periodic Markov jump systems with nonhomogeneous Markov chain, Approximate controllability for linear stochastic differential equations in infinite dimensions, On controllability of nonlinear stochastic systems, A Kalman-type condition for stochastic approximate controllability

Cites Work

• Adapted solution of a backward stochastic differential equation
• On stochastic observability and controllability
• Infinite horizon boundary value problems and applications
• Infinite horizon forward-backward stochastic differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations