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Stability criteria for stochastic systems with colored multiplicative noise

Stabilitätsbedingungen für stochastische Systeme mit stationären Gaußschen Parametern

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Summary

In this paper a particular class of stochastic systems is considered, described by linear differential equations with multiplicative colored noise parameters; it is assumed that a certain commutativity condition is true. For these systems explicit criteria are derived for the asymptotic stability of the moments of any order and also for almost sure asymptotic stability.

Zusammenfassung

In dieser Arbeit wird eine spezielle, durch lineare Differentialgleichungen mit stationären Gaußschen Parametern beschriebene Klasse stochastischer Systeme betrachtet. Vorausgesetzt wird die Gültigkeit einer bestimmten Vertauschbarkeitsbeziehung. Für diese Systeme werden explizite Bedingungen für die asymptotische Stabilität der Momente und für fast sichere Stabilität hergeleitet.

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Authors and Affiliations

  1. Engineering School, University of Gent, Sint-Pietersnieuwstraat 41, B-9000, Gent, Belgium

    J. L. Willems

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  1. J. L. Willems
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Willems, J.L. Stability criteria for stochastic systems with colored multiplicative noise. Acta Mechanica 23, 171–178 (1975). https://doi.org/10.1007/BF01174016

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  • DOI: https://doi.org/10.1007/BF01174016

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