Abstract
In this paper, we discuss the infinite horizon H∞ control problem for a class of nonlinear stochastic systems with state, control, and disturbance dependent noise. The jumping parameters are modelled as an infinite-state Markov chain. Based on the solvability of a set of coupled Hamilton-Jacobi inequalities (HJIs), the exponential mean square H∞ controller for the considered nonlinear stochastic systems is obtained. A numerical example is given to show the effectiveness of the proposed design method.
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