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Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps - MaRDI portal

Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps (Q2930823)

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Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps
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    Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps (English)
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    19 November 2014
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    backward stochastic \(H_2/H_\infty\) control
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    backward stochastic differential equation (BSDE)
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    forward backward stochastic differential equation (FBSDE)
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    Riccati equation
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