Exact controllability of linear stochastic differential equations and related problems

DOI10.3934/MCRF.2017011MaRDI QIDQ524830zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

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