Finite horizon mean-field stochastic H2/H∞ control for continuous-time systems with (x,v)-dependent noise

Stochastic H2/H∞ control of mean-field type for continuous-time systems with state- and disturbance-dependent noise is investigated in this paper. Based on a mean-field stochastic bounded real lemma (SBRL), a sufficient condition for the solvability of continuous-time mean-field H2/H∞ control is given via the solvability of coupled matrix-valued equations. In particular, for mean-field stochastic systems with state-dependent noise, a necessary and sufficient condition for the solvability of continuous-time mean-field H2/H∞ control is presented, which generalizes the previous results to the mean-field stochastic systems.