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ISS Informal Systems Seminar
On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits
David Levanony – Ben-Gurion University of the Negev, Israel
Linear time-varying stochastic differential equations with a.s. continuous, convergent random system matrix processes are considered. We show that given the limit is known to be Hurwitz (i.e. asymptotically stable), the generated state solutions are a.s. bounded. This property is shown to hold by substantiating that, w.p.1, (i) no finite escape time exists and (ii) no divergence to infinity, as t goes to infinity, may occur. We end with an adaptive control application example.
Based on a joint work with Peter E. Caines
Free entrance.
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Location
Room MC 437
CIM
McConnell Building
McGill University
CIM
McConnell Building
McGill University
3480, rue University
Montréal QC H3A 0E9
Canada
Montréal QC H3A 0E9
Canada