Stochastic H₂/H_ control with random coefficients
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Cites work
- A Nash game approach to mixed H/sub 2//H/sub ∞/ control
- Differential Game Approach to the Mixed H-H Problem
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- Indefinite Stochastic Riccati Equations
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Minimization of Risk and Linear Quadratic Optimal Control Theory
- Mixed H/sub 2//H/sub infinity / control: a convex optimization approach
- Mixed H/sub 2//H/sub ∞/-control of discrete-time Markovian jump linear systems
- Multidimensional Backward Stochastic Riccati Equations and Applications
- Multiobjective \({\mathcal H}_2/{\mathcal H}_{\infty}\) control design
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- State Feedback $H_\infty$ Control for a Class of Nonlinear Stochastic Systems
- Stochastic $H^\infty$
- Stochastic Hamilton–Jacobi–Bellman Equations
- Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
- Stochastic linear quadratic optimal control problems with random coefficients
- Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
Cited in
(9)- Stochastic problems in \(H_{\infty}\) and \(H_{2}/ H_{\infty}\) control
- Backward stochastic \(H_{2}/H_{\infty}\) control with random jumps
- Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls
- \(H_2/H_\infty\) control for stochastic jump-diffusion systems with Markovian switching
- H₂/H_ control problems of backward stochastic systems
- Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems
- Average H 2 control by randomized algorithms
- Stochastic \(H_2/H_{\infty}\) control for mean-field stochastic differential systems with \((x, u, v)\)-dependent noise
- Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
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