Backward stochastic H₂/H_ control with random jumps
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Publication:2930823
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Cites work
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- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- Backward Stochastic Differential Equations in Finance
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- Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
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- Global maximum principle for the forward--backward stochastic optimal control problem with Poisson jumps
- Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
- Linear-quadratic control of backward stochastic differential equations
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On solutions of backward stochastic differential equations with jumps and applications
- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic H^\infty
- Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
- Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
Cited in
(7)- Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems
- Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
- BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability
- \(H_{2}/H_\infty\) control for stochastic systems with delay
- Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls
- H₂/H_ control problems of backward stochastic systems
- A maximum principle approach to stochastic \(H_2/H_\infty\) control with random jumps
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