\(H_{\infty}\) control and filtering of discrete-time stochastic systems with multiplicative noise (Q5930063)

The paper examines linear discrete-time systems with stochastic uncertainties in state-space representations, and seeks an \(H^\infty\) type solution. The novelty in this paper, compared to prior contributions to the problem, is that here the optimization is considered on a finite horizon, thus, the end-point effect should be taken into account; in addition, the framework allows an output containing state dependent uncertainties. As tools, the paper develops a finite horizon version of the bounded real lemma, which is used in the analysis of a stochastic filtering via the adjoint system. A concrete example accompanies the abstract developments.