Yoon, Myung GonUgrinovskii, Valery A.Petersen, Ian R.2026-07-032026-07-030191-2216ORCID:/0000-0003-4856-9450/work/219177581https://hdl.handle.net/1885/733812421We consider a minimax optimal control problem for uncertain stochastic systems. The uncertainty in the underlying stochastic system is formulated in terms of probability measure perturbations satisfying a relative entropy constraint. By characterizing the worst-case measure of a related stochastic minimax game, it is shown that the worst-case uncertain system can be represented in the form of a parametric perturbation of nominal system.This work was supported by The Australian Research Council. This paper was not presented at any IFAC meeting. This paper was recommended for publication in revised form by Associate Editor Kenko Uchida under the direction of Editor T. Basar.6en20020036993472