| A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H_2/H_∞ CONTROL WITH RANDOM JUMPS |
| |
| 引用本文： | 张启侠,孙启良.A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H_2/H_∞ CONTROL WITH RANDOM JUMPS[J].数学物理学报(B辑英文版),2015(2):348-358. |
| |
| 作者姓名： | 张启侠 孙启良 |
| |
| 作者单位： | School of Mathematical Sciences,University of Jinan |
| |
| 基金项目： | supported by the Doctoral foundation of University of Jinan(XBS1213);the National Natural Science Foundation of China(11101242) |
| |
| 摘 要： | A necessary maximum principle is given for nonzero-sum stochastic differential games with random jumps.The result is applied to solve the H_2/H_∞ control problem of stochastic systems with random jumps.A necessary and sufficient condition for the existence of a unique solution to the H_2/H_∞ control problem is derived.The resulting solution is given by the solution of an uncontrolled forward backward stochastic differential equation with random jumps.
|
| 关 键 词： | Nonzero-sum stochastic differential games maximum principle Poisson process stochastic H2/H∞ control forward backward stochastic differential equations |
A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H2/H∞ CONTROL WITH RANDOM JUMPS |
| |
| Qixia ZHANG;Qiliang SUN.A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H2/H∞ CONTROL WITH RANDOM JUMPS[J].Acta Mathematica Scientia,2015(2):348-358. |
| |
| Authors: | Qixia ZHANG;Qiliang SUN |
| |
| Institution: | Qixia ZHANG;Qiliang SUN;School of Mathematical Sciences,University of Jinan; |
| |
| Abstract: | |
| |
| Keywords: | |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
