On the disturbance attenuation problem for a wide class of time invariant linear stochastic systems (Q4238143)

A disturbance attenuation problem is solved: Let \[ \begin{aligned} dx(t) & = Ax(t)dt+ \sum A^i_0 dw_i+ \sum B^i_0\nu^i dw_i+ \sum B^i_1\nu^i dt+ B_2u(t)dt,\\ z(t) & = C_1x(t)+ \sum D^i_{11} \nu^i+ D_{12}u,\\ y(t) & = C_2x(t)+ \sum D^i_{21} \nu^i,\end{aligned} \] where \(w\) is a Wiener process, the \(\nu^i\) are disturbances which affect the output \(z\). The output is to be controlled by \[ u= K(y). \] For this problem an \(H^\infty\)-type theory is developed. A bounded real lemma is derived which allows for an LMI approach to the problem. The results are applied to obtain lower estimates for stability radii of given stochastic systems.