Exact controllability of linear stochastic differential equations and related problems

DOI10.3934/mcrf.2017011zbMath1360.93109arXiv1603.07789OpenAlexW2962894004MaRDI QIDQ524830

Dong-Hui Yang, Jiong-min Yong, Yan Qing Wang, Zhi-Yong 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 inequalitynorm optimal control problem\(L^p\)-exact controllabilitycontrolled stochastic differential equation

Mathematics Subject Classification ID

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

Related Items (17)

Sequential convex programming for non-linear stochastic optimal control ⋮ Some optimal control problems of heat equations with weighted controls ⋮ Delayed Optimal Control of Stochastic LQ Problem ⋮ Exact controllability of forward and backward stochastic difference system ⋮ Switching controls for linear stochastic differential systems ⋮ Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states ⋮ Exact controllability of stochastic differential equations with memory ⋮ On a kind of time optimal control problem of the heat equation ⋮ On the partial controllability of SDEs and the exact controllability of FBSDES ⋮ Exact controllability of stochastic differential equations with multiplicative noise ⋮ Improved stability for linear SPDEs using mixed boundary/internal controls ⋮ Time-varying bang-bang property of time optimal controls for heat equation and its application ⋮ Approximately reachable directions for piecewise linear switched systems ⋮ Global controllability for quasilinear nonnegative definite system of ODEs and SDEs ⋮ Controllability Gramian and Kalman rank condition for mean-field control systems ⋮ Optimal control for controllable stochastic linear systems ⋮ Turnpike properties for stochastic linear-quadratic optimal control problems

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