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

DOI10.1016/J.SYSCONLE.2012.11.021MaRDI QIDQ1949129zbMATHOpenAlexFDO

Authors Yanqing 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

controllabilityfixed-point theoremrandom jumpsRiesz representation theoremmartingale representation theorembackward stochastic differential equations (BSDEs)BSDEs with general filtrationcorresponding well-posednessKalman-type rank conditionstochastic linear control systemtransposition solutionLévy processes

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)

Recommendations

• Well-posedness of backward stochastic differential equations with general filtration
• Existence and uniqueness of a class of special multi-dimensional BSRDEs driven by Lévy processes
• scientific article; zbMATH DE number 2189780
• BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• Backward stochastic \(H_{2}/H_{\infty}\) control with random jumps

Cited in

(10)

• The Norm Optimal Control Problem for Stochastic Linear Control Systems
• Stochastic minimum-energy control
• Switching controls for linear stochastic differential systems
• Backward stochastic differential equations with unbounded generators
• Generalized BSDE for Lévy processes under stochastic monotone conditions
• scientific article; zbMATH DE number 6178028 (Why is no real title available?)
• Well-posedness of backward stochastic differential equations with general filtration
• BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
• A stochastic Fubini theorem: BSDE method
• Exact controllability of stochastic differential equations with memory

This page was built for publication: BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1949129)