The \(H_{\infty}\) control for bilinear systems with Poisson jumps (Q1718816)

Summary: This paper discusses the state feedback \(H_{\infty}\) control problem for a class of bilinear stochastic systems driven by both Brownian motion and Poisson jumps. By completing square method, we obtain the \(H_{\infty}\) control by solutions of the corresponding Hamilton-Jacobi equations (HJE). By the tensor power series method, we also shift such HJEs into a kind of Riccati equations, and the \(H_{\infty}\) control is represented with the form of tensor power series.