Jorge Cortés
Professor
Cymer Corporation Endowed Chair
Stability of stochastic differential equations with
additive persistent noise
D. Mateos-Nunez, J. Cortés
Proceedings of the American Control Conference, Washington, D.C., USA,
2013, pp. 5447-5452
Abstract
We present a stability result for stochastic
differential equations subject to additive
persistent noise. Specifically, we propose a
Lyapunov test for noise-to-state stability in
$p$th~moment with respect to an arbitrary subspace.
To check the hypotheses of our result, we develop a
method that exploits equivalence relations between
seminorms and a family of positive semidefinite
functions. With this method, we can translate
inequalities between two positive semidefinite
functions into separate sets of geometric conditions
that relate each of them to a seminorm.
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Mechanical and Aerospace Engineering,
University of California, San Diego
9500 Gilman Dr,
La Jolla, California, 92093-0411
Ph: 1-858-822-7930
Fax: 1-858-822-3107
cortes at ucsd.edu
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jorgilliyo