Stochastic \(H_2/H_\infty\) control with random coefficients
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Publication:379901
DOI10.1007/s11401-013-0790-zzbMath1277.60110MaRDI QIDQ379901
Publication date: 11 November 2013
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11401-013-0790-z
indefinite backward stochastic Riccati equation; linear quadratic (LQ) optimal control; stochastic \(H_\infty\) control; stochastic \(H_2/H_\infty\) control
93E20: Optimal stochastic control
34F05: Ordinary differential equations and systems with randomness
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
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