Incremental nonlinear stability analysis of stochastic systems perturbed by Lévy noise

DOI10.1002/RNC.6216MaRDI QIDQ6069263zbMATH OpenFDO

Authors Soojean Han, Soon-Jo Chung

Publication date 16 December 2023

Published in International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.13338

zbMATH Keywords

nonlinear stochastic systemsPoisson processesrobust stability analysisstability criteriastochastic processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Robust stability (93D09) Stochastic stability in control theory (93E15)

Abstract: We present a theoretical framework for characterizing incremental stability of nonlinear stochastic systems perturbed by compound Poisson shot noise and finite-measure L'{e}vy noise. For each noise type, we compare trajectories of the perturbed system with distinct noise sample paths against trajectories of the nominal, unperturbed system. We show that for a finite number of jumps arising from the noise process, the mean-squared error between the trajectories exponentially converge towards a bounded error ball across a finite interval of time under practical boundedness assumptions. The convergence rate for shot noise systems is the same as the exponentially-stable nominal system, but with a tradeoff between the parameters of the shot noise process and the size of the error ball. The convergence rate and the error ball for the L'{e}vy noise system are shown to be nearly direct sums of the respective quantities for the shot and white noise systems separately, a result which is analogous to the L'{e}vy-Khintchine theorem. We demonstrate our results using several numerical case studies.

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Cited in

(1)

• Stabilisation of stochastic systems driven by Poisson process

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