Nonlinear stochastic \(H_{\infty}\) control with Markov jumps and \((x, u, v)\)-dependent noise: finite and infinite horizon cases (Q1719458)

Summary: This paper is concerned with the \(H_{\infty}\) control problem for nonlinear stochastic Markov jump systems with state, control, and external disturbance-dependent noise. By means of inequality techniques and coupled Hamilton-Jacobi inequalities, both finite and infinite horizon \(H_{\infty}\) control designs of such systems are developed. Two numerical examples are provided to illustrate the effectiveness of the proposed design method.