Accession Number:

ADA458573

Title:

On the Stability of Bilinear Stochastic Systems

Descriptive Note:

Corporate Author:

MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS

Personal Author(s):

Report Date:

1988-08-01

Pagination or Media Count:

13.0

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

Subject Categories:

  • Numerical Mathematics
  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE