Deterministic Optimal Control of Ito Stochastic Systems with Random Coefficients
Hongdan Li, Juanjuan Xu, Huanshui Zhang
TL;DR
This paper develops a framework for deterministic optimal control of Ito stochastic systems with random coefficients, deriving conditions for unique solutions and providing explicit controllers, extending previous deterministic coefficient results.
Contribution
It introduces necessary and sufficient conditions for solvability and explicit controllers for stochastic systems with random coefficients, generalizing existing deterministic cases.
Findings
Derived coupled stochastic Riccati equations for control solutions
Provided explicit formulas for optimal controllers
Extended results to include deterministic coefficient cases
Abstract
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients are derived via the solution to the coupled stochastic Riccati-type equations. An explicit expression of the deterministic optimal controller for this problem is given. The presented results include the case of deterministic coefficient [14] as special case.
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Taxonomy
TopicsStability and Control of Uncertain Systems · Stochastic processes and financial applications · Aerospace Engineering and Control Systems