Optimal Control Problem for Discrete-Time Systems with Colored Multiplicative Noise

Abstract: The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state. By solving the forward and backward stochastic difference equations (FBSDEs), the necessary and sufficient conditions for the solvability of the optimal control problems in both delay-free and one-step input delay case are given.