H Filtering for General Delayed Nonlinear Stochastic Systems with Markov Jumps.

This paper is concerned with the robust $$H_{\infty }$$ filtering problem of nonlinear stochastic delayed systems with Markov jumps, where time delay exists in state equation, measurement equation and controlled output. Firstly, by introducing a nonlinear stochastic bounded real lemma, we present the $$H_{\infty }$$ filter design via solving a set of Hamilton-Jacobi inequalities (HJIs). Secondly, by using fuzzy approach, the $$H_{\infty }$$ filter can be designed via solving a set of Linear Matrix inequalities instead of HJIs. Finally, two numerical examples are given to show the effectiveness of our results. [ABSTRACT FROM AUTHOR]