Preliminaries

Abstract

It is well known that control for stochastic systems has been an important subject of research over the past decades. This is because a majority of industrial processes exhibit stochastic behaviour. As a result, many approaches have been developed and widely used successfully in real applications. Successful and most representative examples are minimum variance control ([2, 3]), selftuning control ([4, 14, 47]), stochastic linear quadratic control ([1, 17]) and jumping parameter systems ([12]).