Almost Sure Stabilizability of Controlled Degenerate Diffusions

DOI10.1137/S0363012903438672MaRDI QIDQ5317122zbMATH OpenFDO

Authors Martino Bardi, Annalisa Cesaroni

Publication date 15 September 2005

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0405167

zbMATH Keywords

almost sure stabilityasymptotic controllabilityasymptotic stabilitydegenerate diffusionHamilton-Jacobi-Bellman inequalitiesnonsmooth analysisstabilizabilitystochastic controlviabilityviscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Stabilization of systems by feedback (93D15) Asymptotic stability in control theory (93D20) Lyapunov and storage functions (93D30) Stochastic stability in control theory (93E15)

Abstract: We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of Hamilton-Jacobi-Bellman partial differential inequality of $2nd$ order. We give local and global versions of the First and Second Lyapunov Theorems assuming the existence of a lower semicontinuous Lyapunov function satisfying such inequality in the viscosity sense. An explicit formula for a stabilizing feedback is provided for affine systems with smooth Lyapunov function. Several examples illustrate the theory.

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• Stochastic Lyapunov functions without differentiability at supposed equilibria
• Lyapunov stabilizability of controlled diffusions via a superoptimality principle for viscosity solutions
• Stability and functional limit theorems for random degenerate diffusions
• Conditions for local almost sure asymptotic stability
• STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD
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• Almost sure properties of controlled diffusions and worst case properties of deterministic systems
• A converse Lyapunov theorem for almost sure stabilizability

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