Stochastic H₂/H_ control with random coefficients
DOI10.1007/S11401-013-0790-ZzbMATH Open1277.60110OpenAlexW2072047970MaRDI QIDQ379901FDOQ379901
Authors: Meijiao Wang 
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
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Optimal stochastic control (93E20)
Cites Work
- Stochastic Hamilton–Jacobi–Bellman Equations
- Mixed H/sub 2//H/sub ∞/-control of discrete-time Markovian jump linear systems
- Multidimensional Backward Stochastic Riccati Equations and Applications
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Indefinite Stochastic Riccati Equations
- Stochastic $H^\infty$
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- State Feedback $H_\infty$ Control for a Class of Nonlinear Stochastic Systems
- A Nash game approach to mixed H/sub 2//H/sub ∞/ control
- Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Mixed H/sub 2//H/sub infinity / control: a convex optimization approach
- Differential Game Approach to the Mixed H-H Problem
- Stochastic \(H_{2}/H_{\infty }\) control with \((x,u,v)\)-dependent noise: finite horizon case
- Multiobjective \({\mathcal H}_2/{\mathcal H}_{\infty}\) control design
- Minimization of Risk and Linear Quadratic Optimal Control Theory
- Stochastic linear quadratic optimal control problems with random coefficients
Cited In (5)
- \(H_2/H_\infty\) control for stochastic jump-diffusion systems with Markovian switching
- Average H 2 control by randomized algorithms
- Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems
- Stochastic \(H_2/H_{\infty}\) control for mean-field stochastic differential systems with \((x, u, v)\)-dependent noise
- Stochastic problems in \(H_{\infty}\) and \(H_{2}/ H_{\infty}\) control
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