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60J27 Probability theory and stochastic processes -- Markov processes -- Continuous-time Markov processes on discrete state spaces

60-02 Probability theory and stochastic processes -- Research exposition (monographs, survey articles)

93E03 Systems theory; control -- Stochastic systems and control -- Stochastic systems, general En-ligne: Springerlink | MSN | Zentralblatt

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This monograph gives an introduction to the field of continuous-time Markov jump linear systems with a focus on applications in optimal control. The text is mainly motivated by engineering applications in high-integrity systems or safety critical systems. After introducing some basic concepts from the theory of Markov processes such as semigroups, infinitesimal generators and mean square stability, the authors discuss optimal control of linear Markov systems in several settings such as quadratic control with complete observations, H 2 optimal control and settings with partial observations.

The text is addressed to researchers in control and signal processing. The reader should be familiar with linear control theory, Markov chains and basic probability and operator theory. (zbMath)

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