“…It is a fact that transition probability plays an important role in the performance of such systems, under the assumption that the transition probabilities of MJSs are time invariant, some problems have been studied, such as system analysis [2,3], stochastic stability and stabilization [4], control [5][6][7][8][9][10][11][12], fault detection and filtering [13][14][15][16][17], fault tolerant and estimation [18,19] etc. Some work has also been done on systems with partially known or uncertain transition probability (see, e.g., [20][21][22][23][24] and the references therein). However, in many practical systems, the transition probability is not a constant matrix, but a time-varying and time-depended matrix.…”