A maximum principle approach to stochastic H₂/H_ control with random jumps

DOI10.1016/S0252-9602(15)60006-6MaRDI QIDQ902325zbMATH OpenFDO

Authors Xixia Zhang, Qiliang Sun

Publication date 15 January 2016

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0252-9602(15)60006-6

zbMATH Keywords

forward backward stochastic differential equationsmaximum principlenonzero-sum stochastic differential gamesPoisson processstochastic \(H_2/H_\infty\) control

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) (H^infty)-control (93B36) Optimal stochastic control (93E20)

Recommendations

• A maximum principle approach for stochastic H₂/H_ control
• scientific article; zbMATH DE number 515821
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• Backward stochastic \(H_{2}/H_{\infty}\) control with random jumps

Cited in

(7)

• Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps
• Backward stochastic \(H_{2}/H_{\infty}\) control with random jumps
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• scientific article; zbMATH DE number 515821 (Why is no real title available?)
• A maximum principle approach for stochastic H₂/H_ control
• Maximum principle for stochastic control system with elephant memory and jump diffusion
• Mixed \(H_2/ H_\infty\) control for Itô-type stochastic time-delay systems with applications to clothing hanging device

This page was built for publication: A maximum principle approach to stochastic \(H_2/H_\infty\) control with random jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q902325)