Output feedback control of Markov jump linear systems in continuous-time

This paper addresses the dynamic output feedback control problem of continuous-time Markovian jump linear systems. The fundamental point in the analysis is an LMI characterization, comprising all dynamical compensators that stabilize the closed-loop system in the mean square sense. The H-2 and H-infinity-norm control problems are studied, and the H-2 and H-infinity filtering problems are solved as a by product.