Abstract
In this paper we are concerned with two norm optimal control problems for different stochastic linear control systems. One is for approximately controllable systems with the natural filtra- tion, while another is for exactly controllable systems with a general filtration. For each aforementioned norm optimal control problem, we construct the unique norm optimal control, through building up some suitable quadratic functional and making use of a variational characterization on its minimizer.
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More From: ESAIM: Control, Optimisation and Calculus of Variations
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