Title :
Some results on the reachable sets of linear stochastic systems
Author_Institution :
Dept. of Math., Fudan Univ., Shanghai, China
Abstract :
Unlike the deterministic case, the reachable set of a linear stochastic control system could be nonconvex, nonclosed even if the control domain is very nice. This leads to many interesting consequences concerning the controllability and optimal control problems for stochastic systems. Our results are also closely related to the solvability of linear forward-backward stochastic differential equations
Keywords :
controllability; differential equations; linear systems; optimal control; stochastic systems; controllability; linear forward-backward stochastic differential equation solvability; linear stochastic control system; nonconvex nonclosed system; optimal control; reachable sets; Control systems; Controllability; Equations; Kalman filters; Laboratories; Mathematics; Q measurement; Stochastic processes; Stochastic systems; Tellurium;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.758470
