ROBUST STABILITY AND ROBUST STABILIZATION OF DISCRETE-TIME LINEAR STOCHASTIC SYSTEMS

In this paper the problem of robust stabilization of a general classof discrete-time linear stochastic systems subject to Markovian jumping and independent random perturbations is investigated. A stochastic version of the bounded real lemma is derived and the small gain theorem is proved. Finally, methodology for the designing of a stabilizing feedback gain for discrete-time linear stochastic system with structured parametric uncertainties is proposed.