The paper deals with the problem of robust H∞ control for stochastic time‐delayed Markovian switching systems under partly known transition rates and actuator saturation via anti‐windup design. The problem we address is the design of anti‐windup compensators, which guarantee that the resulting closed‐loop system is robustly stochastically stable with H∞ performance. By employing local sector conditions and an appropriate Lyapunov–Krasovskii function, sufficient conditions for solving the problem are derived in the form of linear matrix inequalities. Finally, numerical examples are given to demonstrate the validity of the main results. Copyright 2015 John Wiley & Sons, Ltd.
