Behavior of solution of stochastic difference equation with continuous time under additive fading noise (Q2064498)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Behavior of solution of stochastic difference equation with continuous time under additive fading noise
scientific article

    Statements

    Behavior of solution of stochastic difference equation with continuous time under additive fading noise (English)
    0 references
    6 January 2022
    0 references
    Consider the following difference equation on \(\mathbb{R}^n\) with continuous time and under the influence of an additive stochastic perturbation: \[ \begin{multlined} x(t+\tau)=a_1(t,x(t),x(t-h_1),x(t-h_2),\dots)\\ +a_2(t,x(t),x(t-h_1),x(t-h_2),\dots)\xi(t+\tau) +b(t)\eta(t+\tau), \end{multlined} \] with \( t>t_0-\tau\) and \[ x(\theta)=\phi(\theta),\quad \theta\in \Theta=[t_0-h,t_0],\quad h=\tau+\sup_{j\geq 1}h_j, \] where the functionals \(a_1\) and \(a_2\) are \(\mathbb{R}^n\)-valued and \(\mathbb{R}^{n\times k}\)-valued respectively, \(\tau,h_1,\dots\) are positive constants, \(\xi\) is a certain \(\mathbb{R}^k\)-valued stationary stochastic process, \(b(t)\in \mathbb{R}^{n\times m}\) and the perturbation \(\eta(t)\) is a \(\mathbb{R}^m\)-valued stationary stochastic process independent of \(\xi(t)\). The author proves that under suitable assumptions the solution of this equation is asymptotically mean square quasi-trivial, i.e., \[ \lim_{j\rightarrow \infty}\mathbf{E}\left[|x(t+j\tau;t_0,\phi)|^2 \right]=0 \] for each \(t\in [t_0,t_0+\tau]\). Furthermore, special cases such as the related linear system and the scalar case are explicitly investigated.
    0 references
    continuous time
    0 references
    additive fading noise
    0 references
    asymptotically mean square trivial
    0 references
    Lyapunov functional
    0 references
    linear matrix inequality
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references