A unified design for state and output feedback H∞H∞ 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∞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∞H∞ control via a common function u(⋅,rt)u(⋅,rt) (i.e., u(x,rt)u(x,rt) is a state feedback H∞H∞ control, while u(xˆ,rt) is the desired output feedback H∞H∞ control).