Journal of applied mathematics & informatics

한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
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EXISTENCE-AND-UNIQUENESS AND MEAN-SQUARE BOUNDEDNESS OF THE SOLUTION TO STOCHASTIC CONTROL SYSTEMS

  • Lu, Peilin (School of Mathematical Sciences, Inner Mongolia University) ;
  • Cao, Caixia (School of Mathematical Sciences, Inner Mongolia University)
  • 투고 : 2012.10.20
  • 심사 : 2012.11.28
  • 발행 : 2013.05.30
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초록

This paper mainly deals with the stochastic control system, the existence and uniqueness of solutions and the behavior of solutions are investigated. Firstly, we obtain sufficient conditions which guarantee the existence and uniqueness of solutions to the stochastic control system. And then, boundedness of the solution to the system is achieved under mean-square linear growth condition.

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참고문헌

  1. M. Chang, Stochatic Control of Hereditary Systems and Applications, Springer, New York, 2008.
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  3. Berntoksendal, Stochastic Differential Equations, 6th Edition, Springer-Verlag, Berlin, 2006.
  4. G. Hu, K. Wang, Existence and uniqueness of solutions to stochastic differential equation with random coefficients, Ann. of Diff. Eqs. 26, (2010), 400-406.
  5. Arnold Ludwig, Stochastic Differential Equations: Theory and Applications, Montreal, Quebec, 1971.
  6. L. Chen, Z. Wu, A type of general forward-backward stochastic differential equations and applications, Chinese Annals of Mathematics, 32B(2), (2011), 279-292.
  7. Q. Zhu, Y. Shi, Backward doubly stochastic differential equations with jumps and stochastic partial differential-integral equations, Chinese Annals of Mathematics, 33B(1), (2012), 127-142.

피인용 문헌

  1. STOCHASTIC INTEGRAL OF PROCESSES TAKING VALUES OF GENERALIZED OPERATORS vol.34, pp.1_2, 2016, https://doi.org/10.14317/jami.2016.167