带跳线性随机微分方程的近似能控性  

Approximate Controllability of Linear Stochastic Differential Equations with Random Jumps

作　　者：俞励超 YU Lichao(School of Mathematical Sciences,Fudan University,Shanghai 200433,China)

机构地区：[1]复旦大学数学科学学院

出　　处：《数学年刊（A辑）》2019年第4期417-426,共10页Chinese Annals of Mathematics

摘　　要：研究了Poisson随机测度驱动的线性随机微分方程的近似能控性,通过对偶方法,得到了近似能控性的一个代数判据:由方程系数决定的某种不变空间V是退化空间{0}.此外,还给出了有限步计算验证该判据的程序算法.The author investigate the approximate controllability of linear stochastic equations with control acting on the noise terms driven by Poisson random measures.By a dual approach,an algebraic criterion for approximate controllability is given:some invariant linear space V determined by the coefficients of the equation is the trivial space {0}.Furthermore,an iterative finite scheme to compute the space V is provided.

关 键 词：能控性 Poisson随机测度 线性二次最优控制 RICCATI方程 

分 类 号：O211.6[理学—概率论与数理统计]