$H_{2}/H_{\infty}$ Control for Continuous-Time Stochastic Systems with Infinite Markovian Jumps

In this paper, we consider the finite horizon H
₂
/H
_∞
control problem for linear stochastic differential equations (SDEs) with infinite Markovian jumps. A necessary and sufficient condition is proposed for the existence of the mixed H
₂
/H
_∞
control by means of the solvability of the coupled difference Riccati equations (CDREs). Moreover, the state feedback H
₂
/H
_∞
controller is constructed through the solution of CDREs.