Abstract
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 language | English |
|---|---|
| Title of host publication | Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures |
| Subtitle of host publication | Proceedings of the 11th International Conference on Structural Safety and Reliability |
| Editors | George Deodatis, Bruce R. Ellingwood, Dan M. Frangopol |
| Place of Publication | Boca Raton FL USA |
| Publisher | CRC Press |
| Pages | 1047-1054 |
| Number of pages | 8 |
| ISBN (Electronic) | 9781315884882 |
| ISBN (Print) | 9781138000865 |
| Publication status | Published - 2013 |
| Externally published | Yes |
| Event | International Conference On Structural Safety And Reliability (ICOSSAR) 2013 - Columbia University, New York, United States of America Duration: 16 Jun 2013 → 20 Jun 2013 Conference number: 11th https://web.archive.org/web/20120430202838/http://icossar2013.org:80/ |
Conference
| Conference | International Conference On Structural Safety And Reliability (ICOSSAR) 2013 |
|---|---|
| Abbreviated title | ICOSSAR 2013 |
| Country/Territory | United States of America |
| City | New York |
| Period | 16/06/13 → 20/06/13 |
| Internet address |