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Stability Under Random Perturbations

  • Mark I. Freidlin
  • Alexander D. Wentzell
Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 260)

Summary.

Stability of stochastically perturbed systems is considered in Chap. 10. If the nonperturbed system has an asymptotically stable equilibrium, and a bounded neighborhood of this equilibrium is such that the system is “destroyed” if the perturbed trajectory leaves that neighborhood, then the stability of the system can be characterized by the exit time from this neighborhood. If the noise is small, the main term of the asymptotics of the exit time characterizes the stability. Using the results obtained in previous chapters, one can calculate the exit time up to its main term. If a problem of optimal stabilization is considered and the stochastic perturbations are small, one should maximize the main term of the exit time. Results of this type are considered in this chapter.

Keywords

Optimal Control Problem Invariant Measure Equilibrium Position Random Perturbation Admissible Control 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of MarylandCollege ParkUSA
  2. 2.Department of MathematicsTulane UniversityNew OrleansUSA

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