Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems

Automatica

Volumn 38, Issue 8, 2002, Pages 1417-1423

  Liu, Yazeng ^b   Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

^b UNIVERSITY OF BIRMINGHAM   (United Kingdom)

Author keywords

Controllability; Exponential convergence; Index assignment; Stochastic differential equation; Stochastic system

Indexed keywords

CONTROLLABILITY; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; FEEDBACK CONTROL;

INDEX ASSIGNMENT;

STOCHASTIC CONTROL SYSTEMS;

EID: 0036681101     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0005-1098(02)00041-9     Document Type: Article

References (9)

1. Lectures on stochastic control, nonlinear filtering and stochastic control
2. On stochastic observability and controllability
3. Adapted solution of a backward stochastic differential equation
4. Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
5. Backward stochastic differential equation and exact controllability of stochastic control systems
6. Infinite horizon boundary value problem and applications
7. Infinite horizon forward-backward stochastic differential equations
8. Controllability, observability, pole allocation and state reconstruction
9. On pole assignment in multi-input controllable linear systems