This paper deals with the problem of the H2/H∞ control based on finite-time boundedness for linear stochastic systems. The motivation for investigating this problem comes from one observation that the H2/H∞ control does not involve systems’ transient performance. To express this problem clearly, a concept called finite-time H2/H∞ control is introduced. Moreover, state feedback and observer-based finite-time H2/H∞ controllers are designed, which guarantee finite-time boundedness, H2 performance index, and H∞ performance index of the closed-loop systems. Furthermore, an optimization algorithm on the finite-time H2/H∞ control is presented to obtain the minimum values of the H2 index and H∞ index. Finally, we use an example to show the validity of the obtained results.

This paper studies finite‐time annular domain stability (FTADS) and stabilization for stochastic Markovian switching systems driven by both Wiener and Poisson noises. Firstly, new sufficient conditions, based on the common parameter approach (CPA)/mode‐dependent parameter approach (MDPA), are presented to make the stochastic Markovian switching systems FTADS. Secondly, the finite‐time annular domain stabilization (FTAD‐stabilization) is discussed. The state feedback controller (SFC) and the dynamic output feedback controller (DOFC) are designed by CPA/MDPA, respectively, and some new sufficient conditions are given for the existence of these controllers. Moreover, an algorithm is presented to find the value ranges of some parameters, which shows the superiority of MDPA. Finally, a numerical example is supplied to verify the validity of our results.

The finite-time H ∞ control problem for an Itô-type stochastic system with nonlinear perturbation and time delay is investigated. First, the finite-time H ∞ control problem for a nonlinear time-delay stochastic system is presented taking into consideration both the transient performance and the capability to attenuate the disturbance of a closed-loop system in a given finite-time interval. Second, using the Lyapunov-Krasoviskii functional method and the matrix inequality technique, some sufficient conditions for the existence of finite-time H ∞ state feedback controller and dynamic-output feedback controller for nonlinear time-delay stochastic systems are obtained. These conditions guarantee the mean-square finitetime bounded-ness of the closed-loop systems and determine the H ∞ control performance index. Third, this problem is transformed into an optimization problem with matrix inequality constraints, and the corresponding algorithms are given to optimize the H ∞ performance index and obtain the maximum timedelay. Finally, a numerical example is used to illustrate the effectiveness of the proposed method. INDEX TERMS Stochastic systems, nonlinear perturbations, finite-time stability, H ∞ control, time-delay.

No abstract