On the stability of linear stochastic systems
On the stability of linear stochastic systems
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DOI：
10.1109/tac.1969.1099206
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发表时间：
1969-08
影响因子：
6.8
通讯作者：
D. Kleinman
中科院分区：
文献类型：
--
作者：
D. Kleinman
给出了一类线性随机系统以概率1稳定的充要条件。提出了一种构造二次随机李雅普诺夫函数的简单方法，该方法需要求解一个n × n线性矩阵方程.
Necessary and sufficient conditions for stability with probability 1 are developed for the class of linear stochastic systems. A simple technique for constructing quadratic stochastic Lyapunov functions is presented which entails the solution to an n \times n linear matrix equation.