Backward stochastic H₂ / H_ control: infinite horizon case
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.
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- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1563401 (Why is no real title available?)
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