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H∞ CONTROL WITH RANDOM JUMPS.pdf
No.2 O.x.ZhangQ.L.Sun:STOCHASTICH2/H。。CONTROLWITHRANDOMJUMPS 349
a sudden shift by theexogenousdisturbancesuch aswars,decisionsoflargebanksorthe
corporations,andnationalpolicy,etc.Inordertodescribesuchphenomenon,Poissonprocess
isusuallyinserted in thewell—knowngeometricBrownianmotionmodel,and thenew model
isdrivennotonlybyBrownianmotionbutalsobyPoissonprocess.In1975,Rishel[5Jfirstly
consideredtheoptimalcontrolproblem withrandom Poissonjumps.From thenon,many
scholarsandeconomistsalsostudysuchsystemsandtheirapplications;forfurtherreference,we
referto6『-91.However,t
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