The Norm Optimal Control Problem for Stochastic Linear Control Systems

DOI10.1051/cocv/2014030zbMath1311.93089OpenAlexW1987702548MaRDI QIDQ5250292

Can Zhang, Yan Qing Wang

Publication date: 19 May 2015

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2014030

zbMATH Keywords

controllabilityfiltrationnorm optimal controlstochastic linear control systems

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Related Items (8)

Some optimal control problems of heat equations with weighted controls ⋮ Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states ⋮ On the partial controllability of SDEs and the exact controllability of FBSDES ⋮ Time-varying bang-bang property of time optimal controls for heat equation and its application ⋮ A stochastic Fubini theorem: BSDE method ⋮ Exact controllability of linear stochastic differential equations and related problems ⋮ Global controllability for quasilinear nonnegative definite system of ODEs and SDEs ⋮ Optimal control for controllable stochastic linear systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Controllability of stochastic linear systems
• Controllability of linear stochastic systems
• Well-posedness of backward stochastic differential equations with general filtration
• BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability
• A Kalman-type condition for stochastic approximate controllability
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• A note on the controllability of jump diffusions with linear coefficients
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
• On the Equivalence of Minimal Time and Minimal Norm Controls for Internally Controlled Heat Equations

This page was built for publication: The Norm Optimal Control Problem for Stochastic Linear Control Systems