Finite horizon \(H_2 / H_\infty\) control for SDEs with infinite Markovian jumps
DOI10.1016/j.nahs.2019.05.009zbMath1434.93017OpenAlexW2946948379MaRDI QIDQ2304032
Ting Hou, Yueying Liu, Fei Qi Deng
Publication date: 6 March 2020
Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nahs.2019.05.009
stochastic differential equationsfinite horizon\(H_2 / H_\infty\) controlcoupled generalized difference Riccati equationsinfinite Markovian jumps
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (H^infty)-control (93B36) Linear-quadratic optimal control problems (49N10) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by ordinary differential equations (93C15)
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