On the Stability of Bilinear Stochastic Systems

Abstract

We study the stability with probability one of the stochastic bilinear system dX = AX ds + BX dw, where A and B are fixed matrices and w is a Brownian motion. Bounds for the Lyapunov numbers associated with this equation are given. Bilinear noise models are, after linear ones, the second simplest case of stochastic systems; they may arise in many problems in which linear noise models are inappropriate (many examples are given in [6]). The aim of this paper is to give a condition for the stability with probability one of the d-dimensional Ito equation which describes the behavior of such a system

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1988
Accession Number
ADA458573

Entities

People

  • B. Delyon

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  • Massachusetts Institute of Technology

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Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Control Systems Engineering.
  • Statistical inference.