Some Remarks on Stochastic H∞ Control of Linear and Nonlinear It(o)-type Differential Systems

摘要：

This paper studies linear and nonlinear stochastic H∞ control of It?o-type stochastic differential systems with all the state,control input and external disturbance-dependent noise. For general linear stochastic systems with random coef?cients,it is shown that the mixed H2/H∞ design as well as the sole H∞ design is associated with the solvability of some coupled backward stochastic differential equations (BSDEs). By means of Hamilton-Jacobi inequalities,the nonlinear stochastic H∞ control with deterministic coef?cients and (x,u,v)-dependent noise is extensively investigated.

作者: ZHANG Weihai CHEN Bor-Sen TANG Huaibin

作者单位: College of Information and Electrical Engineering,Shandong University of Science and Technology,Qingdao 266510,P.R.China

会议类型: 国际会议

会议名称: The 30th Chinese Control Conference(第三十届中国控制会议)

会议地点: 烟台

会议语种:英文

页码: 1-6

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）