Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application

DOI10.3934/mcrf.2021055arXiv2101.00572OpenAlexW3120615451MaRDI QIDQ6099157

Penghui Wang, Guangdong Jing

Publication date: 19 June 2023

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

Full work available at URL: https://arxiv.org/abs/2101.00572

zbMATH Keywords

eigenvalue problemRiccati equationstochastic Hamiltonian systemforward-backward SDEmethod of decouplingstatistic period

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Eigenvalues, estimation of eigenvalues, upper and lower bounds of ordinary differential operators (34L15) Boundary value problems for ordinary differential equations (34B99)

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