Fault detection filtering for Itô‐type affine nonlinear stochastic systems

This paper studies the mixed H−/H∞ fault detection filtering of Itô‐type nonlinear stochastic systems. Mixed H−/H∞ filtering combines system robustness to external disturbance and the sensitivity to the fault of the residual signal. First, for Itô‐type affine nonlinear stochastic systems, some sufficient criteria are obtained for the existence of H−/H∞ filter in terms of Hamilton‐Jacobi inequalities (HJIs). Second, for a class of quasi‐linear Itô systems, a sufficient condition is given for the existence of the H−/H∞ filter by means of linear matrix inequalities (LMIs). Finally, a numerical example is presented to illustrate the effectiveness of the proposed results.