This new edition has nine chapters and it includes some new developments and results in
robust control of linear stochastic systems. In Chapter 1 properties of homogeneous Markov …

In this paper, we consider the stochastic optimal control problem of discrete-time linear
systems subject to Markov jumps and multiplicative noises under two criteria. The first one is …

This article investigates the problem of the definition and computation of an H2-type norm for
discrete-time time-varying periodic stochastic linear systems simultaneously affected by …

In this article, we consider the stochastic optimal control problem of discrete-time linear
systems subject to Markov jumps and multiplicative noise under three kinds of performance …

In this paper, a class of discrete-time backward non-linear equations defined on some
ordered Hilbert spaces of symmetric matrices is considered. The problem of the existence of …

In this paper the problem of the optimization of a quadratic cost functional along the
trajectories of a discrete-time affine stochastic system affected by jumping Markov …

The aim of the paper is to present a design procedure of the optimal controller minimizing
the H2‐type norm of discrete‐time stochastic linear systems with periodic coefficients …

In this paper, we consider the finite horizon nonzero-sum linear quadratic differential games
for discrete-time stochastic systems with Markovian jumping parameters and multiplicative …

In this work we study the stochastic optimal control problem of discrete-time linear systems
subject to Markov jumps and multiplicative noises. We consider the multiperiod and finite …

In this paper, the problem of the optimization of a quadratic cost functional along the
trajectories of a discrete-time stochastic linear systems with Markovian jump is investigated …