A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H-2/H-infinity CONTROL WITH RANDOM JUMPS

作者：Zhang Qixia^*; Sun Qiliang

来源：Acta Mathematica Scientia, 2015, 35(2): 348-358.

DOI：10.1016/s0252-9602(15)60006-6

• Nonzero-sum stochastic differential games
• maximum principle
• Poisson process
• stochastic H-2/H-infinity control
• forward backward stochastic differential equations

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-infinity 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-infinity control problem is derived. The resulting solution is given by the solution of an uncontrolled forward backward stochastic differential equation with random jumps.

• 出版日期2015-3
• 单位济南大学