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Nonlinear Stochastic Control with Markov Jumps and -Dependent Noise: Finite and Infinite Horizon Cases

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  • Li Sheng
  • Meijun Zhu
  • Weihai Zhang
  • Yuhong Wang

Abstract

This paper is concerned with the control problem for nonlinear stochastic Markov jump systems with state, control, and external disturbance-dependent noise. By means of inequality techniques and coupled Hamilton-Jacobi inequalities, both finite and infinite horizon control designs of such systems are developed. Two numerical examples are provided to illustrate the effectiveness of the proposed design method.

Suggested Citation

  • Li Sheng & Meijun Zhu & Weihai Zhang & Yuhong Wang, 2014. "Nonlinear Stochastic Control with Markov Jumps and -Dependent Noise: Finite and Infinite Horizon Cases," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, June.
    • Handle: RePEc:hin:jnlmpe:948134
    DOI: 10.1155/2014/948134
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