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

Li Sheng, Meijun Zhu, Weihai Zhang and Yuhong Wang

Mathematical Problems in Engineering, 2014, vol. 2014, 1-10

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:948134

DOI: 10.1155/2014/948134

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