Numerical computation of invariant densities of linear control systems driven by multiplicative white noise

DOI10.1080/00207170500146552zbMATH Open1105.93054OpenAlexW2101961965MaRDI QIDQ5707972FDOQ5707972

Authors: Fritz Colonius, Tobias Gayer, Iakovos Matsikis 

Publication date: 25 November 2005

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170500146552

Recommendations

• Stabilization of linear systems by a multiplicative random noise
• scientific article; zbMATH DE number 175903
• Stabilization by Noise Revisited
• Stability of Linear Systems with Control Dependent Noise
• The analysis of stability of a linear oscillator with multiplicative noise

zbMATH Keywords

invariant densityLyapunov exponent

Mathematics Subject Classification ID

Feedback control (93B52) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

Cites Work

• The Monte Carlo Method
• High order approximation of the Frobenius-Perron operator
• A subdivision algorithm for the computation of unstable manifolds and global attractors
• Exploring invariant sets and invariant measures
• Lyapunov exponents. Proceedings of a Workshop held in Bremen, Germany, November 12-15, 1984

Cited In (1)

• Invariant measure of a driven nonlinear oscillator with external noise

This page was built for publication: Numerical computation of invariant densities of linear control systems driven by multiplicative white noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5707972)