H_∞ Estimation for Linear Continuous-Time Markovian Jump Systems by Game Theoretic Approach

抄録

In this paper we study the H_∞ state estimation problems for a class of linear continuous-time Markovian jump systems. We adopt a game theoretic approach and stochastic variational calculus method to derive estimates and forms of dynamic estimators on the fixed time interval. The necessary and sufficient conditions for the solvability of the H_∞ state estimation problems are given by the coupled Riccati differential equations with initial conditions.