scientific article; zbMATH DE number 1016807

MaRDI QIDQ4338988zbMATH OpenFDO

Authors

Publication date 1 December 1997

zbMATH Keywords

disturbancesoptimal stabilizing feedbackperturbed stochastic differential equationRiccati differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Model systems in control theory (93C99) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

Review text

The authors consider the perturbed stochastic differential Itô equation \[ dZ(t)= [M(t)Z(t)+ B_1(t) u_1(t)]dt+ B_0(t) dw(t),\tag{1} \] \(t\in\mathbb{R}\), with nonrandom matrices \(M\), \(B_1\) and \(B_0\), random disturbance process \(u_1\) and multidimensional standard Wiener process \(w(t)\). The system (1) can be described as the system with two inputs, control and disturbances, namely, and one output. The authors associate to each input a stabilizing feedback law and an averaged quadratic cost involving the norms of the output and of the disturbance. The main object of the paper is to construct explicitly the optimal stabilizing feedback law. The specific minimality property of the global stabilizing solution to a game theoretic Riccati differential equation is used for solving this problem.

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