This technical note studies the nonlinear stochastic H ∞ control of Itô-type differential systems with all the state, control input and external disturbance-dependent noise ( (x,u,v)-dependent noise for short). A sufficient condition is given for the finite/infinite horizon H ∞ control of such a system by means of an Hamilton-Jacobi inequality (HJI) instead of three coupled Hamilton-Jacobi equations (HJEs) as in previous literature.
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Zhang et al. (2013) studied this question.
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