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arXiv · 2507.19809

\(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms

Xuling Fang·Jun Moon·Maoning Tang·Qingxin Meng
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Abstract

This paper discusses the \( H_2/H_{\infty} \) control problem for continuous-time mean-field linear stochastic systems with affine terms over a finite horizon. We employ the Mean-Field Stochastic Bounded Real Lemma (MF-SBRL), which provides the necessary and sufficient conditions to ensure that the \( H_{\infty} \) norm of system perturbations remains below a certain level. By utilizing the Mean-Field Forward-Backward Stochastic Differential Equations (MF-FBSDE), we establish the equivalence conditions for open-loop \( H_2/H_{\infty} \) control strategies. Furthermore, the paper demonstrates that the control problem is solvable under closed-loop conditions if solutions exist for four coupled Difference Riccati Equations (CDREs), two sets of backward stochastic differential equations (BSDEs) and ordinary equations (ODEs). The state-feedback gains for the control strategy can be derived from these solutions, thereby linking the feasibility of open-loop and closed-loop solutions.

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Xuling Fang, Jun Moon, Maoning Tang, Qingxin Meng. 2025-07-26. \(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms. https://arxiv.org/abs/2507.19809

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