The Norm Optimal Control Problem for Stochastic Linear Control Systems
Wang, Yanqing1 ; Zhang, Can2
1 School of Mathematics and Statistics, Southwest University, Chongqing 400715, P.R. China.
2 School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P.R. China.
ESAIM: Control, Optimisation and Calculus of Variations, Tome 21 (2015) no. 2, pp. 399-413.

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.

Reçu le :
DOI : 10.1051/cocv/2014030
Classification : 93E20, 93C05
Mots-clés : Norm optimal control, stochastic linear control systems, controllability, filtration
Wang, Yanqing 1 ; Zhang, Can 2

1 School of Mathematics and Statistics, Southwest University, Chongqing 400715, P.R. China.
2 School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P.R. China. 
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Wang, Yanqing; Zhang, Can. The Norm Optimal Control Problem for Stochastic Linear Control Systems. ESAIM: Control, Optimisation and Calculus of Variations, Tome 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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