
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite and infinite horizons, and transform each of these problems into their corresponding normal linear-quadratic control problem. To guarantee the finiteness of the infinite-horizon linear-quadratic control problem, we establish the Popov-Belevitch-Hautus rank criterion for accessing the controllability of the stochastic system. Furthermore, we derive the feedback form of the optimal control. Finally, we provide solutions for illustrated examples of the stochastic singular linear-quadratic control problem in both finite and infinite horizons.
Optimization and Control (math.OC), FOS: Mathematics, 93E20, 60H10, Mathematics - Optimization and Control
Optimization and Control (math.OC), FOS: Mathematics, 93E20, 60H10, Mathematics - Optimization and Control
| selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 0 | |
| popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Average | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Average | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
