\(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms
Abstract
This paper discusses the 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 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 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.
Cite
@article{arxiv.2507.19809,
title = {\(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms},
author = {Xuling Fang and Jun Moon and Maoning Tang and Qingxin Meng},
journal= {arXiv preprint arXiv:2507.19809},
year = {2025}
}