Author Description

Stochastic H2/H Control: A Nash Game Approach presents the latest results in stochastic H2/H control and filtering based on the Nash game approach. After providing some basics of stochastic differential equations, stochastic stability, stochastic observability and detectability, the book solves the H2/H control for linear ltd systems and establishes a relationship between the H2/H control and two-person non-zero sum Nash game. It then discusses the H2/H control for linear discrete time-invariant systems with multiplicative noise, then focuses on linear discrete time-varying systems. After a discussion of mixed H2/H control for linear Markov jump systems with multiplicative noise, it establishes the equiv-alence between stochastic dissipativity and the solvability of nonlinear Lure equations for nonlinear stochastic ltd systems. Following a discussion on stochastic nonlinear H control, the book considers nonlinear H and H2/H filters of ltd systems, which have potential applications in communication and signal processing. Finally, the authors present some further research topics in stochastic H2/H control, including the H2/H control of the following systems: (i) stochastic ltd systems with random coefficients; (ii) nonlinear discrete-time stochastic systems with multiplicative noise; (iii) singular stochastic Ito systems and singular discrete-time systems with multiplicative noise; and (iv) mean-field stochastic systems. At the end of each chapter there is a brief review of related background knowledge and further research topics. Book jacket.