On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits
DOI10.1080/17442508.2020.1804904zbMath1490.60144OpenAlexW3084378790MaRDI QIDQ5086707
Peter E. Caines, David Levanony
Publication date: 7 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2020.1804904
Lyapunov methodologylinear stochastic differential equationspositive supermartingale maximal inequalitysample path boundednessstochastic linear quadratic adaptive controlstochastic system stability
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stochastic systems in control theory (general) (93E03)
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