pth Moment Noise-to-State Stability of Stochastic Differential Equations with Persistent Noise

DOI10.1137/130924652zbMATH Open1315.34063arXiv1501.05008OpenAlexW2001950057MaRDI QIDQ2930962FDOQ2930962

Authors: David Mateos-Nuńẽz, J. Cortés 

Publication date: 21 November 2014

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

Abstract: This paper studies the stability properties of stochastic differential equations subject to persistent noise (including the case of additive noise), which is noise that is present even at the equilibria of the underlying differential equation and does not decay with time. The class of systems we consider exhibit disturbance attenuation outside a closed, not necessarily bounded, set. We identify conditions, based on the existence of Lyapunov functions, to establish the noise-to-state stability in probability and in pth moment of the system with respect to a closed set. As part of our analysis, we study the concept of two functions being proper with respect to each other formalized via a pair of inequalities with comparison functions. We show that such inequalities define several equivalence relations for increasingly strong refinements on the comparison functions. We also provide a complete characterization of the properties that a pair of functions must satisfy to belong to the same equivalence class. This characterization allows us to provide checkable conditions to determine whether a function satisfies the requirements to be a strong NSS-Lyapunov function in probability or a pth moment NSS-Lyapunov function. Several examples illustrate our results.

Full work available at URL: https://arxiv.org/abs/1501.05008

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zbMATH Keywords

Lyapunov functionsstochastic stabilitynoise-to-state stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability of solutions to ordinary differential equations (34D20) Ordinary differential equations and systems with randomness (34F05)

Cited In (13)

• Stability of stochastic nonlinear delay systems with delayed impulses
• Time-domain boundedness of noise-to-state exponentially stable systems
• Stability analysis for a class of stochastic delay nonlinear systems driven by \(G\)-Brownian motion
• Stochastic mirror descent for convex optimization with consensus constraints
• Stability analysis of random systems with Markovian switching and its application
• Stability analysis of stochastic delay differential equations with Lévy noise
• Stochastic stability of systems with semi-Markovian switching
• Noise-input-to-state stability analysis of switching stochastic nonlinear systems with mode-dependent multiple impulses
• Noise-to-state practical stability and stabilization of random neural networks
• Probabilistic ultimate bounds and invariant sets in nonlinear systems
• Noise-to-state exponentially stable distributed convex optimization on weight-balanced digraphs
• New results in global stabilization for stochastic nonlinear systems
• Incremental stability of stochastic time‐varying impulsive and switching systems

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