Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case (Q1718342)
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scientific article; zbMATH DE number 7016406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case |
scientific article; zbMATH DE number 7016406 |
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Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case (English)
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8 February 2019
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Summary: The mixed \(H_2 / H_{\infty}\) control problem is studied for systems governed by infinite horizon backward stochastic differential equations (BSDEs) with exogenous disturbance signal. A necessary and sufficient condition for the existence of a unique solution to the \(H_2 / H_{\infty}\) control problem is derived. The equivalent feedback solution is also discussed. Contrary to deterministic or stochastic forward case, the feedback solution is no longer feedback of the current state; rather, it is feedback of the entire history of the state.
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