Abstract
A notion of partial controllability (also can be called directional controllability or output controllability) is proposed for linear controlled (forward) stochastic differential equations (SDEs), which characterizes the ability of the state to reach some given random hyperplane. It generalizes the classical notion of exact controllability. For time-invariant system, checkable rank conditions ensuring SDEs’ partial controllability are provided. With some special setting, the partial controllability for SDEs is proved to be equivalent to the exact controllability for linear controlled forward-backward stochastic differential equations (FBSDEs). Moreover, we obtain some equivalent conclusions to partial controllability for SDEs or exact controllability for FBSDEs, including the validity of observability inequalities for the adjoint equations, the solvability of some optimal control problems, the solvability of norm optimal control problems, and the non-singularity of a random version of Gramian matrix.
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