| 带跳线性随机微分方程的近似能控性 |
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| 引用本文： | 俞励超. 带跳线性随机微分方程的近似能控性[J]. 数学年刊A辑(中文版), 2019, 40(4): 417-426 |
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| 作者姓名： | 俞励超 |
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| 作者单位： | 复旦大学 数学科学学院, 上海 200433. |
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| 摘 要： | 研究了Poisson随机测度驱动的线性随机微分方程的近似能控性,通过对偶方法,得到了近似能控性的一个代数判据:由方程系数决定的某种不变空间V是退化空间{0}.此外,还给出了有限步计算验证该判据的程序算法.
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| 关 键 词： | Controllability Possion random measure LQ optimal control Riccati equations |
| 收稿时间： | 2018-03-04 |
| 修稿时间： | 2019-02-18 |
Approximate Controllability of Linear Stochastic Differential Equations with Random Jumps |
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| YU Lichao. Approximate Controllability of Linear Stochastic Differential Equations with Random Jumps[J]. Chinese Annals of Mathematics, 2019, 40(4): 417-426 |
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| Authors: | YU Lichao |
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| Affiliation: | School of Mathematical Sciences, Fudan University, Shanghai 200433, China. |
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| Abstract: | The author investigate the approximate controllability of linearstochastic equations with control acting on the noise terms drivenby Poisson random measures. By a dual approach, an algebraiccriterion for approximate controllability is given: some invariantlinear space $textbf{V}$ determined by the coefficients of theequation is the trivial space {0}. Furthermore, an iterativefinite scheme to compute the space $textbf{V}$ is provided. |
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| Keywords: | Controllability Possion random measure LQ optimal control Riccati equations |
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