Controllability And Optimal Control Of Linear Stochastic Mixed Control Systems

This paper is concerned with linear stochastic mixed control systems. The partic-ular case of time-invariant coefficients is further studied, and new results are obtained and another proof of exact controllability is given. Finally, the optimal control of linear stochastic mixed systems is discussed under a quadratic cost functional, and the opti-mal feedback impulse control is given in terms of the solution of the associated Riccati difference equation...