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For general nonlinear stochastic Ito systems with state, control and external disturbance-dependent noise, the infinite horizon mixed H2/Hinfin control is studied. It turns out that in order to solve the H2/Hinfin control, one only needs to solve four cross-coupled Hamilton-Jacobi equations. A necessary condition and a sufficient condition for the existence of the solution of H2/Hinfin controlis respectively presented, which extends the previous results to more general models.
Date of Publication: June 2008