A maximum principle approach to stochastic \(H_2/H_\infty\) control with random jumps
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Publication:902325
DOI10.1016/S0252-9602(15)60006-6zbMath1340.91014MaRDI QIDQ902325
Publication date: 15 January 2016
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
maximum principlePoisson processnonzero-sum stochastic differential gamesstochastic \(H_2/H_\infty\) controlforward backward stochastic differential equations
Differential games (aspects of game theory) (91A23) (H^infty)-control (93B36) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)
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