On Uniqueness of Strong Solution of Stochastic Systems

Abstract

A kind of the well-known matrix Riccati equations which arise in certain stochastic optimal problems is investigated. With the aid of the operator spectrum and the generalized Lyapunov equation approach, we give a sufficient condition for existence and uniqueness of the strong solution related to the critical mean square stabilization of stochastic linear controlled systems, which proves Conjecture 10 in (Zhang et al. (2008)) to a large extent. In addition, we get some properties of the strong solution. At last, we give a kind of stochastic system which has only a strong solution by an example.