Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
type: Item
instance of: scholarly article
title: Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
zbMATH Open document ID: 1407.93365
DOI: 10.1155/2014/421687
author: Zhen Wu
author: Qixia Zhang
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 93B36
zbMATH DE Number: 7016406
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/421687
OpenAlex ID: W2063322547
Wikidata QID: Q59067020
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description: scientific article; zbMATH DE number 7016406