The interest on parameter depending stochastic differential equations (SDE) arises in a very natural way, for instance in ergodic control and in adaptive control of stochastic systems. In this framework, it is in some case useful to know that a parameterized class of SDEs have solutions that decay exponentially to zero uniformly on the parameter. The uniform decay of the optimal states of a class of linear, infinite dimensional, stochastic controlled systems is obtained under a uniform detectability assumption. This uniform detectability condition is verified for a particular parameter depending controlled stochastic system coming from ergodic control of affine stochastic differential equations.

Tessitore, G. (1998). A note on a parameter depending Datko theorem applied to stochastic systems. JOURNAL OF MATHEMATICAL SYSTEMS, ESTIMATION, AND CONTROL, 8(3), 9.

A note on a parameter depending Datko theorem applied to stochastic systems

TESSITORE, GIANMARIO
1998

Abstract

The interest on parameter depending stochastic differential equations (SDE) arises in a very natural way, for instance in ergodic control and in adaptive control of stochastic systems. In this framework, it is in some case useful to know that a parameterized class of SDEs have solutions that decay exponentially to zero uniformly on the parameter. The uniform decay of the optimal states of a class of linear, infinite dimensional, stochastic controlled systems is obtained under a uniform detectability assumption. This uniform detectability condition is verified for a particular parameter depending controlled stochastic system coming from ergodic control of affine stochastic differential equations.
Articolo in rivista - Articolo scientifico
Stochastic systems
English
1998
8
3
9
none
Tessitore, G. (1998). A note on a parameter depending Datko theorem applied to stochastic systems. JOURNAL OF MATHEMATICAL SYSTEMS, ESTIMATION, AND CONTROL, 8(3), 9.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/18197
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