Parametrization method for calculating exact stability bounds of stochastic linear systems with multiplicative noise

DOI10.1016/S0005-1098(96)80013-6MaRDI QIDQ675289zbMATH OpenFDO

Authors Juan-Miguel Gracia

Publication date 6 March 1997

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0005-1098(96)80013-6

zbMATH Keywords

\(p\)-stabilityasymptotic stabilitylinear stochastic systemmoment Lyapunov exponentsmultiplicative white noisestochastic stability

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15)

Review text

The authors investigate \(p\)-stability, that is, asymptotic stability (or for linear systems equivalently, exponential stability) of the \(p\)th moments of a linear stochastic system with multiplicative white noise, described by an Itô DE. Since, other than in the Stratonovich set-up, the trivial solutions of an Itô DE is 2-stable only if the drift matrix is stable, stability of the unperturbed system is assumed. The paper is concerned with finding the largest noise intensities which preserve first 2-stability, then \(p\)-stability, by means of solving an algebraic matrix equation associated with the deterministic linear DE for the covariance matrix \(Ex(t)x(t)^T\).

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(7)

• Decomposition and stability of linear systems with multiplicative noise
• Asymptotic 2p-moment stability of stochastic linear systems
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• scientific article; zbMATH DE number 5780381 (Why is no real title available?)
• scientific article; zbMATH DE number 176103 (Why is no real title available?)
• Almost sure exponential stability of large-scale stochastic nonlinear systems
• Two-sided bounds on some output-related quantities in linear stochastically excited vibration systems with application of the differential calculus of norms

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