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Zbl 0845.93085
Florchinger, Patrick
Lyapunov-like techniques for stochastic stability. (English)
[J] SIAM J. Control Optimization 33, No.4, 1151-1169 (1995). ISSN 0363-0129; ISSN 1095-7138/e

The author considers the dynamical system $$x(t) = x_0 + \int^t_0 f \bigl( x(s), u \bigr) ds + \int^t_0 g \bigl( x(s) \bigr) dw(s)$$ where $x \in\bbfR^n$, $x_0$ is an initial state, $u \in\bbfR^p$ is a control law, $f:\bbfR^n \times\bbfR^n \to\bbfR^n$, $g :\bbfR^n \times\bbfR^p \to\bbfR^n$ are Lipschitz functionals mapping, $f(0,0) = 0$, $g(0) = 0$, $w(t)$ is a standard $R^n$-valued Wiener process. He obtains sufficient conditions for the existence of stabilizing feedback laws that are smooth, except possibly at the equilibrium point of the system using stochastic Lyapunov techniques. The main results are obtained for the class of nonlinear stochastic systems that are affine in the control. Moreover, a stabilization result is also proved for a class of stochastic bilinear systems and for some nonlinear stochastic differential systems by means of a slight extension of the stochastic Jurdjevic-Quinn theorem obtained previously. In the last section, the necessary and sufficient conditions for the dynamic stabilization of control nonlinear stochastic systems are given.
[L.Socha (Katowice)]

MSC 2000:: *93E15 Stochastic stability
93D30 Scalar and vector Lyapunov functions
60H10 Stochastic ordinary differential equations
93D15 Stabilization of systems by feedback
93D20 Asymptotic stability of control systems
93C10 Nonlinear control systems

Keywords: stabilizing feedback; stochastic Lyapunov techniques; nonlinear; stabilization; bilinear systems; Jurdjevic-Quinn

Cited in: Zbl 1001.93087

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