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

DOI10.1016/S0005-1098(02)00041-9zbMath1006.93005OpenAlexW2159887313WikidataQ115340666 ScholiaQ115340666MaRDI QIDQ1614409

Shige Peng, Yazeng Liu

Publication date: 5 September 2002

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(02)00041-9

zbMATH Keywords

stochastic differential equationcontrollabilitystochastic systemexponential convergenceindex assignmentinfinite horizon forward-backward stochastic differential equations

Mathematics Subject Classification ID

Controllability (93B05) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Related Items (11)

Stabilization of bilateral teleoperators with asymmetric stochastic delay ⋮ Solution to the forward and backward stochastic difference equations with asymmetric information and application ⋮ 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 ⋮ On controllability of nonlinear stochastic systems ⋮ A Kalman-type condition for stochastic approximate controllability ⋮ Controllability Properties of Linear Mean-Field Stochastic Systems ⋮ Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems ⋮ Approximate controllability for linear stochastic differential equations in infinite dimensions ⋮ Linear quadratic Pareto game of the stochastic systems in infinite horizon

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

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