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

zbMATH Keywords

Lyapunov methodologylinear stochastic differential equationspositive supermartingale maximal inequalitysample path boundednessstochastic linear quadratic adaptive controlstochastic system stability

Mathematics Subject Classification ID

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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• Lyapunov-Like Techniques for Stochastic Stability

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