Exact Controllability of Linear Stochastic Differential Equations and Related Problems
Optimization and Control
2016-03-28 v1
Abstract
A notion of -exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the -exact controllability, the validity of an observability inequality for the adjoint equation, the solvability of an optimization problem, and the solvability of an -type norm optimal control problem are all equivalent.
Keywords
Cite
@article{arxiv.1603.07789,
title = {Exact Controllability of Linear Stochastic Differential Equations and Related Problems},
author = {Yanqing Wang and Donghui Yang and Jiongmin Yong and Zhiyong Yu},
journal= {arXiv preprint arXiv:1603.07789},
year = {2016}
}