Nonlinear stochastic H/sub 2//H/sub /spl infin// control with state-dependent noise

For a system governed by Ito-type nonlinear stochastic differential equation with state-dependent noise, the H/sub 2//H/sub /spl infin// control problem is considered, which combines the H/sub 2/ optimization with the robust H/sub /spl infin// performance. A cross-coupled Hamilton-Jacobi equations associated with the nonlinear stochastic H/sub 2//H/sub /spl infin// control are obtained, based on which, sufficient conditions for designing the finite and infinite horizon nonlinear stochastic H/sub 2//H/sub /spl infin// controllers are derived. Some results on linear stochastic H/sub 2//H/sub /spl infin// control can be viewed as corollaries of this paper.

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