Stochastic Linear Quadratic Control Problem on Time Scales

被引：0

作者：

Zhu, Yingjun ^{[1
]}

Jia, Guangyan ^{[1
]}

机构：

[1] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Peoples R China

来源：

DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2021年 / 2021卷

基金：

国家重点研发计划;

关键词：

DYNAMIC-SYSTEMS; BROWNIAN-MOTION; CALCULUS; REGULATORS; EQUATIONS;

D O I：

10.1155/2021/5743014

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper addresses a version of the stochastic linear quadratic control problem on time scales (S Delta LQ, which includes the discrete time and continuous time as special cases. Riccati equations on time scales are given, and the optimal control can be expressed as a linear state feedback. Furthermore, we present the uniqueness and existence of the solution to the Riccati equation on time scales. Furthermore, we give an example to illustrate the theoretical results.

引用

页数：12

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