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| H_2/H_∞ Control for Stochastic Jump-Diffusion Systems with Markovian Switching | |
| 摘 要： | In this paper, a stochastic H_2/H_∞ control problem is investigated for Poisson jumpdiffusion systems with Markovian switching, which are driven by a Brownian motion and a Poisson random measure with the system parameters modulated by a continuous-time finite-state Markov chain.A stochastic jump bounded real lemma is proved, which reveals that the norm of the perturbation operator below a given threshold is equivalent to the existence of a global solution to a parameterized system of Riccati type differential equations. This result enables the authors to obtain sufficient and necessary conditions for the existence of H_2/H_∞ control in terms of two sets of interconnected systems of Riccati type differential equations. |
H2/H∞ Control for Stochastic Jump-Diffusion Systems with Markovian Switching |
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| Authors: | Wang Meijiao Meng Qingxin Shen Yang |
| Institution: | 1.Business School, University of Shanghai for Science and Technology, Shanghai, 200093, China ;2.Department of Mathematical Sciences, Huzhou University, Zhejiang, 313000, China ;3.School of Risk & Actuarial Studies, University of New South Wales, Sydney, NSW, 2052, Australia ; |
| Abstract: | Journal of Systems Science and Complexity - In this paper, a stochastic H2/H∞ control problem is investigated for Poisson jump-diffusion systems with Markovian switching, which are driven by... |
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