Exact controllability of linear stochastic differential equations and related problems

DOI10.3934/MCRF.2017011zbMATH Open1360.93109arXiv1603.07789OpenAlexW2962894004MaRDI QIDQ524830FDOQ524830

Authors: Dong-Hui Yang, Jiongmin Yong, Yanqing Wang, Zhiyong Yu 

Publication date: 26 April 2017

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: A notion of $L^p$-exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the $L^p$-exact controllability, the validity of an observability inequality for the adjoint equation, the solvability of an optimization problem, and the solvability of an $L^p$-type norm optimal control problem are all equivalent.

Full work available at URL: https://arxiv.org/abs/1603.07789

Recommendations

• On controllability of linear stochastic systems
• Controllability of linear stochastic control systems
• On the partial controllability of SDEs and the exact controllability of FBSDEs
• Exact controllability of stochastic differential equations with multiplicative noise
• Exact controllability for stochastic transport equations

zbMATH Keywords

observability inequality\(L^p\)-exact controllabilitycontrolled stochastic differential equationnorm optimal control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Exact Controllability, Stabilization and Perturbations for Distributed Systems
• Title not available (Why is that?)
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Title not available (Why is that?)
• Mean-field backward stochastic Volterra integral equations
• Controllability and Stabilizability Theory for Linear Partial Differential Equations: Recent Progress and Open Questions
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Kalman-type condition for stochastic approximate controllability
• A characterization of approximately controllable linear stochastic differential equations
• Controllability of stochastic linear systems
• Time and norm optimal controls: a survey of recent results and open problems
• Equivalence of three different kinds of optimal control problems for heat equations and its applications
• On the equivalence of minimal time and minimal norm controls for internally controlled heat equations
• L^∞-Norm minimal control of the wave equation: on the weakness of the bang-bang principle
• Controllability of linear stochastic systems
• The matrix sign function and computations in systems
• On the stochastic observability and controllability for non-linear systems†
• The Norm Optimal Control Problem for Stochastic Linear Control Systems
• Controllability of Discrete, Linear, Random Dynamical Systems
• On controllability for stochastic control systems when the coefficient is time-variant
• Representation of Itô integrals by Lebesgue/Bochner integrals
• Stochastic minimum-energy control

Cited In (25)

• Title not available (Why is that?)
• On the Exact Controlability of a Nonlinear Stochastic Heat Equation. II
• Controllability Gramian and Kalman rank condition for mean-field control systems
• Exact controllability for mean-field type linear game-based control systems
• Exact controllability of linear mean-field stochastic systems and observability inequality for mean-field backward stochastic differential equations
• On a kind of time optimal control problem of the heat equation
• Delayed optimal control of stochastic LQ problem
• Exact controllability of stochastic differential equations with multiplicative noise
• Improved stability for linear SPDEs using mixed boundary/internal controls
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
• Turnpike properties for stochastic linear-quadratic optimal control problems
• On the exact controllability of a nonlinear stochastic heat equation
• Exact controllability of forward and backward stochastic difference system
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• Switching controls for linear stochastic differential systems
• Approximately reachable directions for piecewise linear switched systems
• Exact controllability of stochastic differential equations with memory
• Global controllability for quasilinear nonnegative definite system of ODEs and SDEs
• Some optimal control problems of heat equations with weighted controls
• Sequential convex programming for non-linear stochastic optimal control
• On the partial controllability of SDEs and the exact controllability of FBSDEs
• Exact controllability for stochastic transport equations
• Time-varying bang-bang property of time optimal controls for heat equation and its application
• Optimal control for controllable stochastic linear systems
• A unified controllability/observability theory for some stochastic and deterministic partial differential equations

This page was built for publication: Exact controllability of linear stochastic differential equations and related problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q524830)