A Riccati Approach to Mixed $H_2/H_{\infty }$ Closed-Loop Games for Infinite-Dimensional Stochastic Systems

Mingyang Shen, Weihai Zhang, Qingxin Meng +1

This paper studies a finite-horizon mixed $H_2/H_{\infty }$ feedback Nash game for stochastic evolution equations on a separable Hilbert space. The drift generator is unbounded, the r…