On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits

DOI10.1080/17442508.2020.1804904MaRDI QIDQ5086707zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

linear stochastic differential equationsLyapunov methodologypositive supermartingale maximal inequalitysample path boundednessstochastic linear quadratic adaptive controlstochastic system stability

Mathematics Subject Classification ID

Sample path properties (60G17) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

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Cites work

• A note on the structure of two subsets of the parameter space in adaptive control problems
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• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• Lyapunov-Like Techniques for Stochastic Stability
• Nonlinear systems
• On Persistent Excitation for Linear Systems with Stochastic Coefficients
• On the consistent filtering of convergent semimartingales
• On the necessity of identifying the true parameter in adaptive LQ control
• Stability of regime-switching stochastic differential equations
• Stochastic \varepsilon-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy

Cited in

(1)

• Stochastic boundedness of state trajectories of stable LTI systems in the presence of non-vanishing stochastic perturbation

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