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Avtomatika i Telemekhanika, 2018, Issue 2, Pages 122–134 (Mi at14762)  
This article is cited in 5 scientific papers (total in 5 papers)

Stochastic Systems

Multiplicative stochastic systems with multiple external disturbances

M. E. Shaikin

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (649 kB) Citations (5)
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Abstract: With the methods of $H_2/H_\infty$-control theory, in the presence of noise we solve the optimization problem for a multiplicative stochastic system with several external disturbances (the multiperturbation problem) and vector Wiener processes with arbitrary intensity matrices. We obtain matrix differential equations of Riccati type, reducing the original optimization problem to solving these equations.
Keywords: $H_2/H_\infty$-control theory, stochastic Ito equation, external disturbances, multiplicative system, optimization problem, Ito's formula, equation of Riccati type.
Funding agency Grant number
Russian Foundation for Basic Research 13-08-00744
This work was supported by the Russian Foundation for Basic Research, project no. 13-08-00744.
Presented by the member of Editorial Board: M. M. Khrustalev

Received: 24.04.2017
English version:
Automation and Remote Control, 2018, Volume 79, Issue 2, Pages 300–310
DOI: https://doi.org/10.1134/S0005117918020091
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. E. Shaikin, “Multiplicative stochastic systems with multiple external disturbances”, Avtomat. i Telemekh., 2018, no. 2, 122–134; Autom. Remote Control, 79:2 (2018), 300–310
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2018/i2/p122
    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:31
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