Mathematical Problems in Engineering 
Volume 3 (1996), Issue 2, Pages 173-185
doi:10.1155/S1024123X97000513

Stability of stochastic systems with jumps

E. K. Boukas and H. Yang

 Mechanical Engineering Department, École Polytechnique de Montréal, P.O. Box 6079, Station “centre-ville”, Montréal H3C 3A7, Québec, Canada
Received 15 January 1996; Revised 30 April 1996

Abstract

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.