Stochastic H2/H∞ control for continuous-time Markov jump linear systems with (x, u, v)-dependent noise based on Nash game approach

In this paper, finite and infinite horizon stochastic H2/H∞ control problems with all state, control input and external disturbance-dependent noise are studied. It is shown that the existence condition of finite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled differential Riccati equations, and that of infinite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled algebraic Riccati equations.