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Czechoslovak Mathematical Journal

, Volume 59, Issue 2, pp 317–342 | Cite as

Optimal control of linear stochastic evolution equations in Hilbert spaces and uniform observability

  • Viorica Mariela Ungureanu
Article

Abstract

In this paper we study the existence of the optimal (minimizing) control for a tracking problem, as well as a quadratic cost problem subject to linear stochastic evolution equations with unbounded coefficients in the drift. The backward differential Riccati equation (BDRE) associated with these problems (see [2], for finite dimensional stochastic equations or [21], for infinite dimensional equations with bounded coefficients) is in general different from the conventional BDRE (see [10], [18]). Under stabilizability and uniform observability conditions and assuming that the control weight-costs are uniformly positive, we establish that BDRE has a unique, uniformly positive, bounded on ℝ + and stabilizing solution. Using this result we find the optimal control and the optimal cost. It is known [18] that uniform observability does not imply detectability and consequently our results are different from those obtained under detectability conditions (see [10]).

Keywords

Riccati equation stochastic uniform observability stabilizability quadratic control tracking problem 

MSC 2000

93E20 49K45 

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Copyright information

© Mathematical Institute, Academy of Sciences of Czech Republic 2009

Authors and Affiliations

  1. 1.Department of Mathematics“Constantin Brancusi” UniversityGorjRomania

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