In this paper we are concerned with two norm optimal control problems for different stochastic linear control systems. One is for approximately controllable systems with the natural filtration, while another is for exactly controllable systems with a general filtration. For each aforementioned norm optimal control problem, we construct the unique norm optimal control, through building up some suitable quadratic functional and making use of a variational characterization on its minimizer.

DOI: 10.1051/cocv/2014030

Keywords: Norm optimal control, stochastic linear control systems, controllability, filtration

^{1}; Zhang, Can

^{2}

@article{COCV_2015__21_2_399_0, author = {Wang, Yanqing and Zhang, Can}, title = {The {Norm} {Optimal} {Control} {Problem} for {Stochastic} {Linear} {Control} {Systems}}, journal = {ESAIM: Control, Optimisation and Calculus of Variations}, pages = {399--413}, publisher = {EDP-Sciences}, volume = {21}, number = {2}, year = {2015}, doi = {10.1051/cocv/2014030}, mrnumber = {3348405}, zbl = {1311.93089}, language = {en}, url = {http://archive.numdam.org/articles/10.1051/cocv/2014030/} }

TY - JOUR AU - Wang, Yanqing AU - Zhang, Can TI - The Norm Optimal Control Problem for Stochastic Linear Control Systems JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2015 SP - 399 EP - 413 VL - 21 IS - 2 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/cocv/2014030/ DO - 10.1051/cocv/2014030 LA - en ID - COCV_2015__21_2_399_0 ER -

%0 Journal Article %A Wang, Yanqing %A Zhang, Can %T The Norm Optimal Control Problem for Stochastic Linear Control Systems %J ESAIM: Control, Optimisation and Calculus of Variations %D 2015 %P 399-413 %V 21 %N 2 %I EDP-Sciences %U http://archive.numdam.org/articles/10.1051/cocv/2014030/ %R 10.1051/cocv/2014030 %G en %F COCV_2015__21_2_399_0

Wang, Yanqing; Zhang, Can. The Norm Optimal Control Problem for Stochastic Linear Control Systems. ESAIM: Control, Optimisation and Calculus of Variations, Volume 21 (2015) no. 2, pp. 399-413. doi : 10.1051/cocv/2014030. http://archive.numdam.org/articles/10.1051/cocv/2014030/

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