H∞ CONTROL WITH RANDOM JUMPS.pdfVIP

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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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