Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps (Q2930823)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps |
scientific article |
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Backward Stochastic H<sub>2</sub>/H<sub>∞</sub>Control with Random Jumps (English)
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19 November 2014
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backward stochastic \(H_2/H_\infty\) control
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backward stochastic differential equation (BSDE)
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forward backward stochastic differential equation (FBSDE)
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Riccati equation
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