Abstract
This paper is concerned with the optimal control problem of linear distributed parameter systems with stochastic coefficients whose stochastic models are given by the White Gaussian processes.
First, by introducing the concept of a stochastic eigenvalue problem, the mathematical model of its system dynamics with stochastic coefficients is formulated in a form of the equation of random evolution on a function space L2(G).
Secondly, the optimal control problem for the quadratic pay-off functional is solved by using the dynamic programming approach.
For the purpose of supporting the theory developed here, results of simulation studies are also demonstrated.
