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

DOI10.1080/00207170500146552MaRDI QIDQ5707972zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

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

Cited in

(1)

• Invariant measure of a driven nonlinear oscillator with external noise

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