A unified framework for asymptotic and transient behavior of linear stochastic systems

Zhiguo Yan, Ju H. Park and Weihai Zhang

Applied Mathematics and Computation, 2018, vol. 325, issue C, 31-40

Abstract: This paper is concerned with a unified framework for asymptotic and transient behavior of stochastic systems. In order to explain this problem explicitly, a concept of mean square (γ, α)-stability is first introduced and two stability criteria are derived. By utilizing an auxiliary definition of mean square (γ, T)-stability, the relations among mean square (γ, α)-stability, mean square (γ, T)-stability and finite-time stochastic stability are established. Subsequently, two new sufficient conditions for the existence of state and output feedback mean square (γ, α)-stabilization controllers are presented in terms of matrix inequalities. A numerical algorithm is given to obtain the relation between γmin and α. Finally, an example is given to illustrate our results.

Keywords: Stochastic systems; Mean square (γα)-stability; Asymptotic and transient behavior; Matrix inequality (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:325:y:2018:i:c:p:31-40

DOI: 10.1016/j.amc.2017.12.023

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