Stochastic finite horizon H∞ control for nonlinear discrete-time systems

The paper deals with the stochastic H
_infin
control problem for nonlinear discrete-time systems with multiplicative noises. Based on Hamilton-Jacobi equations, the nonlinear stochastic H
_infin
control designer is given. Dissipative inequality and equality are both introduced in the paper. The proposed approach can be further used to solve more difficult stochastic infinite horizon H
_infin
control problems.