Output feedback H∞ control of stochastic nonlinear time-delay systems with state and disturbance-dependent noises

This paper is concerned with the output feedback H-infinity control problem for a class of stochastic nonlinear systems with time-varying state delays; the system dynamics is governed by the stochastic time-delay It-type differential equation with state and disturbance contaminated by white noises. The design of the output feedback control is based on the stochastic dissipative theory. By establishing the stochastic dissipation of the closed-loop system, the delay-dependent and delay-independent approaches are proposed for designing the output feedback controller. It is shown that the output feedback control problem for the stochastic nonlinear time-delay systems can be solved by two delay-involved Hamilton-Jacobi inequalities. A numerical example is provided to illustrate the effectiveness of the proposed methods.