Stochastic \(H_2/H_\infty\) control with random coefficients
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Publication:379901
DOI10.1007/s11401-013-0790-zzbMath1277.60110OpenAlexW2072047970MaRDI QIDQ379901
Publication date: 11 November 2013
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11401-013-0790-z
indefinite backward stochastic Riccati equationlinear quadratic (LQ) optimal controlstochastic \(H_\infty\) controlstochastic \(H_2/H_\infty\) control
Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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