Stochastic Stabilization of Linear Systems Driven by Reflecting Brownian Motion

Yanyan Xie, Zhengping Shi

Abstract


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.

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DOI: http://dx.doi.org/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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