Lyapunov Functions for Linear Stochastic Differential Equations: BMI Formulation of the Conditions

DOI10.5220/0008192201470155MaRDI QIDQ6180886zbMATH OpenOpenAlexFDO

Authors Sigurdur Hafstein

Publication date 2 January 2024

Published in Proceedings of the 16th International Conference on Informatics in Control, Automation and Robotics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5220/0008192201470155

zbMATH Keywords

bilinear matrix inequalitiesLyapunov functionstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Lyapunov and storage functions (93D30) Stochastic stability in control theory (93E15)

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Cited in

(6)

• Review on contraction analysis and computation of contraction metrics
• Hamiltonian stochastic Lie systems and applications
• The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem
• Piecewise quadratic Lyapunov functions for stochastic differential equations by linear programming
• Diffusive limit approximation of pure jump optimal ergodic control problems
• Robust finite-time stability in stochastic systems via homogeneous approximation

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