The H∞ Control for Bilinear Systems with Poisson Jumps

Abstract EN

This paper discusses the state feedback H∞ control problem for a class of bilinear stochastic systems driven by both Brownian motion and Poisson jumps.

By completing square method, we obtain the H∞ control by solutions of the corresponding Hamilton-Jacobi equations (HJE).

By the tensor power series method, we also shift such HJEs into a kind of Riccati equations, and the H∞ control is represented with the form of tensor power series.