Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4615791 | Journal of Mathematical Analysis and Applications | 2014 | 25 Pages |
Abstract
In this paper we solve an infinite-horizon linear quadratic control problem for a class of differential equations with countably infinite Markov jumps and multiplicative noise. The global solvability of the associated differential Riccati-type equations is studied under detectability hypotheses. A nonstochastic, operatorial approach is used. Some properties of the linear stochastic systems, such as stability, stabilizability and detectability, are also discussed on the basis of a new solution representation result. A generalized Ito's formula which applies to infinite dimensional stochastic differential equations with countably infinite Markov jumps is also provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Viorica Mariela Ungureanu,