Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4663621 | Acta Mathematica Scientia | 2015 | 11 Pages |
Abstract
A necessary maximum principle is given for nonzero-sum stochastic differential games with random jumps. The result is applied to solve the H2/H∞ control problem of stochastic systems with random jumps. A necessary and sufficient condition for the existence of a unique solution to the H2/H∞ control problem is derived. The resulting solution is given by the solution of an uncontrolled forward backward stochastic differential equation with random jumps.
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