Title :
Stability analysis of a particular class of stochastic system
Author :
Willems, Jacques
Author_Institution :
University of Ghent, Ghent, Belgium
Abstract :
In the letter, a particular class of linear system with multiplicative coloured noise is considered. It is shown that the stability of the moments can be analysed by means of an equivalent ltÿ equation involving white noise. The necessary and sufficient condition for almost sure asymptotic stability is also given.
Keywords :
linear systems; noise; stability; stochastic systems; Ito equation; asymptotic stability; bandwidth; eigenvalue; linear matrix; moments; stability analysis; stochastic system; variance; white noise; zero mean;
Journal_Title :
Electronics Letters
DOI :
10.1049/el:19740426
