Groupe d’études et de recherche en analyse des décisions

G-96-16

Stability of Stochastic Systems with Jumps

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This paper deals with stochastic stability of systems with Markovian jumps and Brownian motion. Mainly, we present sufficient conditions for quadratic stabilization of Ito type stochastic linear and nonlinear systems with Markovian jumps and Brownian motion using state feedback control. We also prove the guaranteed cost property of the proposed control strategy for the linear case.

, 14 pages