Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise

Abstract: In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive noise does not depend on the state or the control, whereas multiplicative noise has a magnitude proportional to the current state. The cost is assumed to be quadratic in both the state and the control. First, the controllability of the state covariance is established under mild assumptions. Then, the optimal control for steering the covariance is provided. Lastly, the existence and uniqueness of the optimal control is shown. In the process, we provide a result of independent interest regarding the maximal interval of existence of the solution to a matrix Riccati differential equation.