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Stochastic stability for a class of systems with multiplicative state noise

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2 Author(s)
G. Wise ; University of Texas, Austin, TX, USA ; S. Marcus

This paper is concerned with investigating the p th moment asymptotic stability of linear systems subject to non-Gaussian multiplicative (state-dependent) noise. The noise processes are a form of filtered Poisson processes. A technique is presented for investigating the pth moment asymptotic stability of linear systems satisfying certain Lie algebraic conditions. Several examples are presented to illustrate the technique.

Published in:

IEEE Transactions on Automatic Control  (Volume:24 ,  Issue: 2 )