Backward StochasticH2/H∞Control: Infinite Horizon Case
Keyword(s):
The mixedH2/H∞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 theH2/H∞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.
1988 ◽
Vol 11
(1)
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pp. 47-51
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2015 ◽
Vol 52
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pp. 287-329
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2017 ◽
Vol E100.A
(12)
◽
pp. 2764-2775
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