Linear stochastic systems of descriptor type: Theory and applications

B. Gashi, A. A. Pantelous

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearch

9 Citations (Scopus)


Very recently stochastic differential equations of descriptor type have been appeared and studied in the literature of stochastic dynamic systems. In this paper we give the necessary and sufficient conditions for the existence and uniqueness of the solution of forward and backward stochastic differential equations of descriptor type. Moreover, the property of exact controllability is considered as the main control application. Finally, some preliminary results of linear-quadratic control and mean-square stability are also briefly presented.

Original languageEnglish
Title of host publicationSafety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures
Subtitle of host publicationProceedings of the 11th International Conference on Structural Safety and Reliability
EditorsGeorge Deodatis, Bruce R. Ellingwood, Dan M. Frangopol
Place of PublicationBoca Raton FL USA
PublisherCRC Press
Number of pages8
ISBN (Electronic)9781315884882
ISBN (Print)9781138000865
Publication statusPublished - 2013
Externally publishedYes
EventInternational Conference On Structural Safety And Reliability (ICOSSAR) 2013 - Columbia University, New York, United States of America
Duration: 16 Jun 201320 Jun 2013
Conference number: 11th


ConferenceInternational Conference On Structural Safety And Reliability (ICOSSAR) 2013
Abbreviated titleICOSSAR 2013
Country/TerritoryUnited States of America
CityNew York
Internet address

Cite this