Dragan, Vasile (Romanian Acad.), STOICA, ADRIAN-MIHAIL (Univ.)

Riccati Type Equations for Stochastic Systems with Jumps

Scheduled for presentation during the Regular Session "Sampled-data control I" (TuA09), Tuesday, July 25, 2006, 12:05−12:30, Room J

17th International Symposium on Mathematical Theory of Networks and Systems, July 24-28, 2006, Kyoto, Japan

This information is tentative and subject to change. Compiled on May 27, 2023

Abstract

The present paper has two main purposes. The first one is to investigate some properties of Riccati--type systems of equations arising in the control of stochastic linear systems with jumps corrupted with multiplicative white noise, a particular attention being paid to the existence conditions of the stabilizing solution. The second purpose is to provide a numerical algorithm to compute the stabilizing solution of such Riccati--type systems. The main result provides necessary and sufficient conditions for the existence of the stabilizing solution. An iterative convergent procedure to compute the stabilizing solution is also given together with a numerical example.