Lyapunov function computation for autonomous linear stochastic differential equations using sum-of-squares programming

DOI10.3934/dcdsb.2018049zbMath1395.60060OpenAlexW2756857851MaRDI QIDQ1671067

Peter Giesl, Skuli Gudmundsson, Enrico Scalas, Sigurður Freyr Hafstein

Publication date: 6 September 2018

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2018049

zbMATH Keywords

stabilitystochastic differential equationnumerical methodLyapunov functionbasin of attractiondynamical system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fields related with sums of squares (formally real fields, Pythagorean fields, etc.) (12D15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stability theory for smooth dynamical systems (37C75)

Related Items (3)

Convex computation of maximal Lyapunov exponents ⋮ Review on contraction analysis and computation of contraction metrics ⋮ Probabilistic basin of attraction and its estimation using two Lyapunov functions

Uses Software

• Matlab
• Sostools
• SeDuMi

Cites Work

• Unnamed Item
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• Lyapunov-Like Techniques for Stochastic Stability
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• Stochastic differential equations. An introduction with applications.

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