H∞ Control for Continuous‐Time Mean‐Field Stochastic Systems

An H_∞‐type control is considered for mean‐field stochastic differential equations (SDEs) in this paper. A stochastic bounded real lemma (SBRL) is proved for mean‐field stochastic continuous‐time systems with state‐ and disturbance‐dependent noise. Based on SBRL, a sufficient condition is given for the existence of a stabilizing H_∞ controller in terms of coupled nonlinear matrix inequalities.