A unified design for state and output feedback control of nonlinear stochastic Markovian jump systems with state and disturbance-dependent noise

For a class of continuous-time nonlinear stochastic Markovian jump systems with state- and disturbance-dependent noise, both the state and output feedback H ∞ control problems are studied. Based on the solvability of a set of coupled Hamilton-Jacobi inequalities (HJIs), we give a unified design for both state and dynamic output feedback H ∞ control via a common function u ( ⋅ , r t ) (i.e., u ( x , r t ) is a state feedback H ∞ control, while u ( x ˆ , r t ) is the desired output feedback H ∞ control).