کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
694561 890152 2010 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Mean-square Exponential Input-to-state Stability of Euler-Maruyama Method Applied to Stochastic Control Systems
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Mean-square Exponential Input-to-state Stability of Euler-Maruyama Method Applied to Stochastic Control Systems
چکیده انگلیسی

This paper deals with the mean-square exponential input-to-state stability (exp-ISS) of Euler-Maruyama (EM) method applied to stochastic control systems (SCSs). The aim is to find out the conditions of the exact and EM method solutions to an SCS having the property of mean-square exp-ISS without involving control Lyapunov functions. Second moment boundedness and an appropriate form of strong convergence are achieved under global Lipschitz coefficients and mean-square continuous random inputs. Under the strong convergent condition, it is shown that the mean-square exp-ISS of an SCS holds if and only if that of the EM method is preserved for sufficiently small step size.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Acta Automatica Sinica - Volume 36, Issue 3, March 2010, Pages 406-411