Stochastic finite horizon H∞ control for nonlinear discrete-time systems

The paper deals with the stochastic Hinfin control problem for nonlinear discrete-time systems with multiplicative noises. Based on Hamilton-Jacobi equations, the nonlinear stochastic Hinfin control designer is given. Dissipative inequality and equality are both introduced in the paper. The proposed approach can be further used to solve more difficult stochastic infinite horizon Hinfin control problems.

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