Morozan T. Optimal stationary control for dynamic systems with Markov perburbations. Stochastic Analysis and Applications, 1983, 1(3): 299-325
[2]
Morozan T. Stability and control for linear systems with jump Markov perburbations. Stochastic Analysis and Applications, 1995, 13(1): 91-110
[3]
Boukas E K, Liu Z K. Deterministic and Stochastic Time-Delay Systems. New York: Springer-Verlag, 2002. 380-427
[4]
Costa O L V, Fragoso M D, Marques R P. Discrete-Time Markov Jump Linear Systems. London: Springer-Verlag, 2005. 71-142
[5]
Kleinman D L. On the stability of linear stochastic systems. IEEE Transactions on Automatic Control, 1969, 14(4): 429-430
[6]
Willems J L, Willems J C. Feedback stabilizability for stochastic systems with state and control dependent noise. Automatica, 1976, 12(3): 277-283
[7]
Ghaoui L E. State-feedback control of systems with multiplicative noise via linear matrix inequalities. Systems and Control Letters, 1995, 24(3): 223-228
[8]
Rami M A, Zhou X Y. Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic control. IEEE Transactions on Automatic Control, 2000, 45(6): 1131-1143
[9]
Chen B S, Zhang W H. Stochastic H2/H∞ control with state-dependent noise. IEEE Transactions on Automatic Control, 2004, 49(1): 45-57
[10]
Zhan W H, Huang Y L, Zhang H S. Stochastic H2/H∞ control for discrete-time systems with state and disturbance dependent noise. Automatica, 2007, 43(3): 513-521
[11]
Zhang W H, Zhang H S, Chen B S. Generalized Lyapunov equation approach to state-dependent stochastic stabilization/detectability criterion. IEEE Transactions on Automatic Control, 2008, 53(7): 1630-1642
[12]
Wonham W M. Random differential equations in control theory. Probabilistic Methods in Applied Mathematics. New York: Academic Press, 1970. 131-132
[13]
Haurie A, Leizarowitz A. Overtaking optimal regulation and tracking of piecewise diffusion linear systems. SIAM Journal on Control and Optimization, 1992, 30(4): 816-837
[14]
Mao X. Stability of stochastic differential equations with Markovian switching. Stochastic Processes and Their Applications, 1999, 79(1): 45-67
[15]
Dragan V, Morozan T, Stoica A M. Mathematical Methods in Robust Control of Linear Dtochastic Systems. New York: Springer-Verlag, 2006. 80-151
[16]
Dragan V, Morozan T. The linear quadratic optimization problems for a class of linear stochastic systems with multiplicative white noise and Markovian jumping. IEEE Transactions on Automatic Control, 2004, 49(5): 665-675
[17]
Mukaidani H. Soft-constrained stochastic Nash games for weakly coupled large-scale systems. Automatica, 2009, 45(5): 1272-1279
[18]
Mukaidani H. Robust guaranteed cost control for uncertain stochastic systems with multiple decision makers. Automatica, 2009, 45(7): 1758-1764
[19]
Lee J H, Won C H, Diersing R W. Two player statistical game with higher order cumulants. In: Proceedings of the American Control Conference. Baltimore, USA: IEEE, 2010. 4857-4862