Stability of Stochastic Systems with Jumps

E. K. Boukas; H. Yang

doi:10.1155/S1024123X97000513

Stability of Stochastic Systems with Jumps

E. K. Boukas^*, H. Yang

^*Corresponding author for this work

Ecole Polytechnique de Montreal

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

Abstract

This paper deals with stochastic stability of systems with Markovian jumps and Brownian motion. Mainly, we present sufficient conditions for quadratic stabilization of Ito type stochastic linear and nonlinear systems with Markovian jumps and Brownian motion using state feedback control. We also prove the guaranteed cost property of the proposed control strategy for the linear case.

Original language	English
Pages (from-to)	173-185
Number of pages	13
Journal	Mathematical Problems in Engineering
Volume	3
Issue number	2
DOIs	https://doi.org/10.1155/S1024123X97000513
Publication status	Published - 1996
Externally published	Yes

Keywords

Ito Differential Equation
Lyapunov Function
Markov Process
Stochastic Stability
Systems with Markovian jumps and Brownian motion

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title = "Stability of Stochastic Systems with Jumps",

abstract = "This paper deals with stochastic stability of systems with Markovian jumps and Brownian motion. Mainly, we present sufficient conditions for quadratic stabilization of Ito type stochastic linear and nonlinear systems with Markovian jumps and Brownian motion using state feedback control. We also prove the guaranteed cost property of the proposed control strategy for the linear case.",

keywords = "Ito Differential Equation, Lyapunov Function, Markov Process, Stochastic Stability, Systems with Markovian jumps and Brownian motion",

author = "Boukas, {E. K.} and H. Yang",

year = "1996",

doi = "10.1155/S1024123X97000513",

language = "English",

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pages = "173--185",

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T1 - Stability of Stochastic Systems with Jumps

AU - Boukas, E. K.

AU - Yang, H.

PY - 1996

Y1 - 1996

N2 - This paper deals with stochastic stability of systems with Markovian jumps and Brownian motion. Mainly, we present sufficient conditions for quadratic stabilization of Ito type stochastic linear and nonlinear systems with Markovian jumps and Brownian motion using state feedback control. We also prove the guaranteed cost property of the proposed control strategy for the linear case.

AB - This paper deals with stochastic stability of systems with Markovian jumps and Brownian motion. Mainly, we present sufficient conditions for quadratic stabilization of Ito type stochastic linear and nonlinear systems with Markovian jumps and Brownian motion using state feedback control. We also prove the guaranteed cost property of the proposed control strategy for the linear case.

KW - Ito Differential Equation

KW - Lyapunov Function

KW - Markov Process

KW - Stochastic Stability

KW - Systems with Markovian jumps and Brownian motion

UR - http://www.scopus.com/inward/record.url?scp=0348249563&partnerID=8YFLogxK

U2 - 10.1155/S1024123X97000513

DO - 10.1155/S1024123X97000513

M3 - Article

AN - SCOPUS:0348249563

SN - 1024-123X

VL - 3

SP - 173

EP - 185

JO - Mathematical Problems in Engineering

JF - Mathematical Problems in Engineering

IS - 2

ER -

Stability of Stochastic Systems with Jumps

Abstract

Keywords

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