Finite horizon H₂ / H_ control for SDEs with infinite Markovian jumps

DOI10.1016/J.NAHS.2019.05.009MaRDI QIDQ2304032zbMATH OpenOpenAlexFDO

Authors Ting Hou, Yueying Liu, Feiqi Deng

Publication date 6 March 2020

Published in Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nahs.2019.05.009

zbMATH Keywords

\(H_2 / H_\infty\) controlcoupled generalized difference Riccati equationsfinite horizoninfinite Markovian jumpsstochastic differential equations

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (H^infty)-control (93B36) Control/observation systems governed by ordinary differential equations (93C15) Stochastic systems in control theory (general) (93E03)

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Cited in

(6)

• Infinite horizon \(H_2/H_\infty\) control for stochastic systems with Markovian jumps
• Optimal control for infinite dimensional stochastic differential equations with infinite Markov jumps and multiplicative noise
• consensus of stochastic multi-agent systems with time-delay and Markov jump
• Infinite horizon LQ Nash games for SDEs with infinite jumps
• Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon
• Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case

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