The finite time H∞ control problem for a class of linear stochastic systems with norm bounded exogenous
disturbance is considered. Firstly, the definition of finite time H∞ control of linear stochastic systems is given. Then by
constructing Lyapunov-Krasoviskii function and using linear matrix inequality approach, a sufficient condition for finite time
H∞ control of linear stochastic systems is presented. Furthermore, the problem is reduced to the optimization problem under
the constraint of linear matrix inequalities and the corresponding solving algorithm is given. Finally, an example is presented
to demonstrate the effectiveness of the proposed method.