随机广义耦合微分Riccati方程解的存在性

Existence of the Solution for Stochastic Generalized Coupled Differential Riccati Equation

本文研究利用奇异值分解方法,获得了随机广义耦合微分Riccati方程解的存在性.另外,作为应用,我们将解的存在性结论应用到了,带马尔可夫跳的线性随机奇异系统最优控制问题,并得到有限时区上的最优控制问题中最优控制的显式表示形式.

By means of the singular value decomposition,the existence of solution are obtained for the stochastic generalized coupled differential Riccati equation.As an application,we apply the existence results to consider the optimal control of Markovian jump linear stochastic singular system,and obtain the desired explicit representation of the optimal controllers for the optimal control problem with the finite horizon.