Backward Stochastic Differential Equation and Exact Controllability of Stochastic Control Systems

被引:10
作者
彭实戈
机构
[1] Department of Mathematics
[2] Shandong University
[3] Jinan
[4] PRC
关键词
stochastic differential equation; controllability; martingales;
D O I
暂无
中图分类号
O211 [概率论(几率论、或然率论)];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
<正> This paper is concerned with the structures of the backward stochastic differentialequations (BSDE). We provide an approach to the determination of whether aformulation of certain types of BSDE is well-posed in the existenee viewpoint. As anapplication of our results, we give a necessary condition of tenrminal controllability fora stochastic control system. To linear stochastic control systems, we introduce a purealgebraic criterion of necessary and sufficient condition for a system to be exactlycontrollable.
引用
收藏
页码:21 / 31
页数:11
相关论文
共 2 条
[1]   BACKWARD STOCHASTIC DIFFERENTIAL-EQUATIONS AND APPLICATIONS TO OPTIMAL-CONTROL [J].
PENG, SG .
APPLIED MATHEMATICS AND OPTIMIZATION, 1993, 27 (02) :125-144
[2]  
Adapted solution of BSDE. Pardoux E, Peng S. Systems and Control Letters . 1990