Stochastic Stabilization of Linear Systems Driven by Reflecting Brownian Motion

Yanyan Xie, Zhengping Shi


This paper investigates the perturbation of an unstable linear differential equation by random noise that is a reflecting Brownian motion. A sufficient almost sure exponential stability condition for the perturbed system is established and the corresponding sample Lyapunov exponent is estimated.

Full Text: PDF DOI: 10.5539/ijsp.v1n2p198


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International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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