Stochastic H2/H∞ control for continuous-time Markov jump linear systems with (x, u, v)-dependent noise based on Nash game approach

@article{Huainian2012StochasticHC,
  title={Stochastic H2/H∞ control for continuous-time Markov jump linear systems with (x, u, v)-dependent noise based on Nash game approach},
  author={Zhu Huainian and Zhang Chengke and Bin Ning and Zhou Haiying},
  journal={Proceedings of the 31st Chinese Control Conference},
  year={2012},
  pages={2565-2570}
}
In this paper, finite and infinite horizon stochastic H<sub>2</sub>/H<sub>∞</sub> control problems with all state, control input and external disturbance-dependent noise are studied. It is shown that the existence condition of finite horizon stochastic H<sub>2</sub>/H<sub>∞</sub> control is equivalent to the solvability of four coupled differential Riccati… CONTINUE READING