Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces

We prove existence and uniqueness of the mild solution of an infinite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of the semigroup generated by the unbounded operator involved in the equation. Then the results will be applied to characterize the value function and optimal feedback law for a infinite dimensional, linear quadratic control problem with stochastic coefficients

Controllability Metrics on Networks with Linear Decision Process-type Interactions and Multiplicative Noise

This paper aims at the study of controllability properties and induced controllability metrics on complex networks governed by a class of (discrete time) linear decision processes with mul-tiplicative noise. The dynamics are given by a couple consisting of a Markov trend and a linear decision process for which both the "deterministic" and the noise components rely on trend-dependent matrices. We discuss approximate, approximate null and exact null-controllability. Several examples are given to illustrate the links between these concepts and to compare our results with their continuous-time counterpart (given in [16]). We introduce a class of backward stochastic Riccati difference schemes (BSRDS) and study their solvability for particular frameworks. These BSRDS allow one to introduce Gramian-like controllability metrics. As application of these metrics, we propose a minimal intervention-targeted reduction in the study of gene networks

Algebraic Invariance Conditions in the Study of Approximate (Null-)Controllability of Markov Switch Processes

We aim at studying approximate null-controllability properties of a particular class of piecewise linear Markov processes (Markovian switch systems). The criteria are given in terms of algebraic invariance and are easily computable. We propose several necessary conditions and a sufficient one. The hierarchy between these conditions is studied via suitable counterexamples. Equivalence criteria are given in abstract form for general dynamics and algebraic form for systems with constant coefficients or continuous switching. The problem is motivated by the study of lysis phenomena in biological organisms and price prediction on spike-driven commodities.Comment: Mathematics of Control, Signals, and Systems, Springer Verlag (Germany), 2015, online first http://link.springer.com/article/10.1007/s00498-015-0146-