Open Access
2014 On Uniqueness of Strong Solution of Stochastic Systems
Gang Li, Ming Chen
Abstr. Appl. Anal. 2014: 1-6 (2014). DOI: 10.1155/2014/890925


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.


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Gang Li. Ming Chen. "On Uniqueness of Strong Solution of Stochastic Systems." Abstr. Appl. Anal. 2014 1 - 6, 2014.


Published: 2014
First available in Project Euclid: 2 October 2014

zbMATH: 07023247
MathSciNet: MR3176777
Digital Object Identifier: 10.1155/2014/890925

Rights: Copyright © 2014 Hindawi

Vol.2014 • 2014
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