Mathematical methods in robust control of linear stochastic systems. (Q2509133)

The subject of the book is related to the development of a theory of linear stochastic systems including both white noise and jump Markov perturbations, and to the development of analysis and design methods for linear-quadratic control, robust stabilization and disturbance attenuation problems. The book contains seven chapters. Chapter 1, ``Preliminaries to probability theory and stochastic differential equations'', contains some basic concepts. Chapter 2, ``Exponential stability and Lyapunov-type equations'', is devoted to the investigation of the problem of mean square exponential stability of the zero solution. Chapter 3, ``Structural properties of linear stochastic systems'', gives the stochastic version of stabilizability, detectability and controllability. In the Chapter 4, ``The Riccati equations of stochastic control'', differential and algebraic generalized Riccati equations are introduced and analyzed. Chapter 5, ``Linear quadratic control problem for linear stochastic systems'', deals with the problem of design of stabilizing controllers. In Chapter 6, ``Stochastic version of the Bounded Real Lemma and applications'', a unitary approach is used for systems subjected both to multiplicative white noise disturbances and to Markovian switching. Chapter 7, ``Robust stabilization of linear stochastic systems'', deals with a robust stabilization problem with white noise and Markovian jumps. Necessary and sufficient conditions for the existence of a stabilizing controllers are obtained. The book addresses graduate students and researchers in advanced control engineering, applied mathematics, mathematical systems theory and finance.