Backward Stochastic H2/H∞ Control: Infinite Horizon Case
The mixed H2/H∞ control problem is studied for systems governed by infinite horizon backward stochastic differential equations (BSDEs) with exogenous disturbance signal. A necessary and sufficient condition for the existence of a unique solution to the H2/H∞ control problem is derived. The equivalen...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2014/421687 |