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V. Dragan and T. Morozan, “Stability and Robust Stabilization to Linear Stochastic Systems Described by Differential Equations with Markovian Jumping and Multiplicative White Noise,” Stochastic Analysis and Applications, Vol. 20, No. 1, 2002, pp. 33-92. doi:10.1081/SAP-120002421

has been cited by the following article:

• TITLE: Infinite Horizon LQ Zero-Sum Stochastic Differential Games with Markovian Jumps

  AUTHORS: Huai-Nian Zhu, Cheng-Ke Zhang, Ning Bin

  KEYWORDS: Stochastic Systems; Differential Games; Markovian Jumps; Stochastic H∞ Control

  JOURNAL NAME: Applied Mathematics, Vol.3 No.10A, November 1, 2012

  ABSTRACT: This paper studies a class of continuous-time two person zero-sum stochastic differential games characterized by linear It?’s differential equation with state-dependent noise and Markovian parameter jumps. Under the assumption of stochastic stabilizability, necessary and sufficient condition for the existence of the optimal control strategies is presented by means of a system of coupled algebraic Riccati equations via using the stochastic optimal control theory. Furthermore, the stochastic H∞ control problem for stochastic systems with Markovian jumps is discussed as an immediate application, and meanwhile, an illustrative example is presented.