Recursive stochastic H₂/H_ control problem for delay systems involving continuous and impulse controls

DOI10.1002/ASJC.1328MaRDI QIDQ2970913zbMATH OpenOpenAlexFDO

Authors Zhang Qixia, Sun Qiliang

Publication date 31 March 2017

Published in Asian Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asjc.1328

zbMATH Keywords

anticipated backward stochastic differential equationforward backward stochastic differential equationimpulse controlstochastic \(H_{2}/H_{\infty}\) control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

Recommendations

• \(H_{2}/H_\infty\) control for stochastic systems with delay
• Mean-field stochastic H₂/H_ control with delay
• Finite horizon stochastic H₂/H_ control with discrete and distributed delays
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• Stochastic H₂/H_ control with random coefficients

Cites work

• A Delayed Black and Scholes Formula
• A Nash game approach to mixed H/sub 2//H/sub ∞/ control
• A type of general forward-backward stochastic differential equations and applications
• Anticipated backward stochastic differential equations
• Backward stochastic \(H_{2}/H_{\infty}\) control with random jumps
• Backward stochastic differential equations and applications to optimal control
• Backward-forward stochastic differential equations
• Finite-Time Stability and Stabilization of Itô Stochastic Systems With Markovian Switching: Mode-Dependent Parameter Approach
• Finite-time stability and stabilization of linear Itô stochastic systems with state and control-dependent noise
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Hedging contingent claims for a large investor in an incomplete market
• Hedging options for a large investor and forward-backward SDE's
• Optimal consumption choices for a `large' investor
• Optimal contracts in continuous-time models
• Optimal stochastic impulse control with delayed reaction
• Robust mixed H 2 /H ∞ control of time-varying delay systems
• State and output feedback finite-time guaranteed cost control of linear Itô stochastic systems
• Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
• Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

Cited in

(2)

• \(H_{2}/H_\infty\) control for stochastic systems with delay
• Bifurcation analysis and stability criterion for the nonlinear fractional-order three-dimensional financial system with delay

This page was built for publication: Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2970913)