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Exact controllability of stochastic differential equations with multiplicative noise. (arXiv:1711.01139v2 [math.OC] UPDATED)
来源于:arXiv
One proves that the $n$-D stochastic controlled equation
$dX+AXdt=\sigma(X)dW+Bu\,dt$, where $\sigma\in\mbox{Lip}((\R^n,\L(\R^d,\R^n))$
and the pair $A\in\L(\R^n)$, $B\in\L(\R^m,\R^n)$ satisfies the Kalman rank
condition, is exactly controllable in each $y\in\R^n$, $\sigma(y)=0$ on each
finite interval $(0,T)$. An application to approximate controllability to
stochastic heat equation is given. 查看全文>>