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Attainability problems under stochastic perturbations. (English. Russian original) Zbl 1140.93475

Differ. Equ. 40, No. 11, 1573-1578 (2004); translation from Differ. Uravn. 40, No. 11, 1494-1499 (2004).
From the introduction: The present paper deals with attainability issues for continuous linear systems under stochastic perturbations. The noises are assumed to be stochastic Wiener processes defined via their characteristics, which can depend on a control parameter. Attainability domains are introduced as level sets of a solution of a Hamilton-Jacobi-Bellman equation of a special form.

MSC:

93E03 Stochastic systems in control theory (general)
93B05 Controllability
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30 Applications of stochastic analysis (to PDEs, etc.)
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