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Title: Optimal and robust control for a class of nonlinear stochastic systems
Author: Hua, H.
ISNI:       0000 0004 6058 8491
Awarding Body: University of Liverpool
Current Institution: University of Liverpool
Date of Award: 2016
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This thesis focuses on theoretical research of optimal and robust control theory for a class of nonlinear stochastic systems. The nonlinearities that appear in the diffusion terms are of a square-root type. Under such systems the following problems are investigated: optimal stochastic control in both finite and infinite horizon; robust stabilization and robust H∞ control; H₂/H∞ control in both finite and infinite horizon; and risk-sensitive control. The importance of this work is that explicit optimal linear controls are obtained, which is a very rare case in the nonlinear system. This is regarded as an advantage because with explicit solutions, our work becomes easier to be applied into the real problems. Apart from the mathematical results obtained, we have also introduced some applications to finance.
Supervisor: Gashi, Bujar Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral