An excursion-theoretic approach to stability of discrete-time stochastic hybrid systems

DOI10.1007/S00245-010-9117-6zbMATH Open1216.93107arXiv0901.2269OpenAlexW3102165014MaRDI QIDQ535335FDOQ535335

Authors: Debasish Chatterjee, Soumik Pal 

Publication date: 11 May 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: We address stability of a class of Markovian discrete-time stochastic hybrid systems. This class of systems is characterized by the state-space of the system being partitioned into a safe or target set and its exterior, and the dynamics of the system being different in each domain. We give conditions for $L_1$-boundedness of Lyapunov functions based on certain negative drift conditions outside the target set, together with some more minor assumptions. We then apply our results to a wide class of randomly switched systems (or iterated function systems), for which we give conditions for global asymptotic stability almost surely and in $L_1$. The systems need not be time-homogeneous, and our results apply to certain systems for which functional-analytic or martingale-based estimates are difficult or impossible to get.

Full work available at URL: https://arxiv.org/abs/0901.2269

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zbMATH Keywords

Markov processstochastic stabilityexcursion theory

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Stochastic stability in control theory (93E15)

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Cited In (3)

• Stability analysis for stochastic hybrid systems: a survey
• Exponential Mean‐Square Stability of Stochastic String Hybrid Systems Under Continuous Non‐Gaussian Excitation
• Stability verification for a class of stochastic hybrid systems by semidefinite programming

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