H∞ Control for Nonlinear Stochastic Systems with Time-Delay and Multiplicative Noise

This paper studies the infinite horizon H∞ control problem for a general class of nonlinear stochastic systems with time-delay and multiplicative noise. The exponential/asymptotic mean square H∞ control design of delayed nonlinear stochastic systems is presented by solving Hamilton-Jacobi inequalities. Two numerical examples are provided to show the effectiveness of the proposed design method