Controller design of systems with multiplicative noise
Yannis A. Phillis · IEEE Transactions on Automatic Control · 1985
General linear continuous stochastic systems are considered with multiplicative noise in the control and state channels and stabilizing optimal inputs are synthesized for both time-varying and time-invariant situations. In the nonstationary case, a set of nonlinear matrix differential equations has to be solved. In the stationary problem, a set of nonlinear matrix algebraic equations provides the solution. The separation principle is not valid and both the state filtering and the control synthesis problem should be treated simultaneously.