Stochastic Linear Quadratic Control Problem on Time Scales. (30th March 2021)

• Record Type: Journal Article
• Authors: Zhu, Yingjun; Jia, Guangyan
• Other Names: Matouk A. E. Academic Editor.
• Is Part Of: Discrete dynamics in nature and society. Volume 2021(2021)
• Publication Date: 2021-03-30
• Subjects: System analysis -- Periodicals; Dynamics -- Periodicals; Chaotic behavior in systems -- Periodicals; Differentiable dynamical systems -- Periodicals; 003.05
• DOI: 10.1155/2021/5743014
• Languages: English
• ISSNs: 1026-0226

Abstract

Abstract : This paper addresses a version of the stochastic linear quadratic control problem on time scales S Δ LQ, which includes the discrete time and continuous time as special cases. Riccati equations on time scales are given, and the optimal control can be expressed as a linear state feedback. Furthermore, we present the uniqueness and existence of the solution to the Riccati equation on time scales. Furthermore, we give an example to illustrate the theoretical results.