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Recursive Stochastic H 2 / H ∞ Control Problem for Delay Systems Involving Continuous and Impulse Controls
Author(s) -
Qixia Zhang,
Qiliang Sun
Publication year - 2017
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.1328
Subject(s) - impulse control , impulse (physics) , uniqueness , mathematics , stochastic differential equation , differential equation , control theory (sociology) , mathematical analysis , control (management) , computer science , physics , artificial intelligence , quantum mechanics , psychology , psychotherapist
In this paper, we discuss the recursive stochastic H 2 / H ∞ control problem of delay systems with random coefficients involving both continuous and impulse controls. By virtue of a new type of forward backward stochastic differential equations, a necessary and sufficient condition for the existence of a unique solution to the control problem under consideration is derived. The existence and uniqueness of the forward backward stochastic differential equations are also be proved.