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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)
  • Received : 2012.10.20
  • Accepted : 2012.11.28
  • Published : 2013.05.30

Abstract

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.

References

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Cited by

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