A Contraction Theory Approach to Stochastic Incremental Stability
We investigate the incremental stability properties of Itô stochastic dynamical systems. Specifically, we derive a stochastic version of nonlinear contraction theory that provides a bound on the mean square distance between any two trajectories of a stochastically contracting system. This bound can...
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Veröffentlicht in: | arXiv.org 2008-01 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We investigate the incremental stability properties of Itô stochastic dynamical systems. Specifically, we derive a stochastic version of nonlinear contraction theory that provides a bound on the mean square distance between any two trajectories of a stochastically contracting system. This bound can be expressed as a function of the noise intensity and the contraction rate of the noise-free system. We illustrate these results in the contexts of stochastic nonlinear observers design and stochastic synchronization. |
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ISSN: | 2331-8422 |