Backward Stochastic H2H∞ Control : Infinite Horizon Case

Abstract EN

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 equivalent feedback solution is also discussed.

Contrary to deterministic or stochastic forward case, the feedback solution is no longer feedback of the current state; rather, it is feedback of the entire history of the state.