1 Introduction
Systems with multiplicative noise are encountered in many areas of applications such as neutron kinetics, position build up and heat transfer [1]. The analysis and design of controllers for this kind of systems have received much attention [2]–[5]. [3] studied the stochastic -filtering and output-feedback control problems. [5] developed a different version of maximum principle for the general stochastic and nonlinear systems in the discrete-time case.