Robustness of exponential stability of stochastic differential delay equations

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Abstract

Regard the stochastic differential delay equation dx(t) = [(A + Ā(t))x(t) + (B + B̄(t - τ))x(t - τ)] dt + g(t, x(t), x(t - τ)) dw(t) as the result of the effects of uncertainly, stochastic perturbation, and time lag to a linear ordinary differential equation ẋ(t) = (A + B)x(t). Assume the linear system is exponentially stable. In this paper we shall characterize how much the uncertainty, stochastic perturbation, and time lag the linear system can bear such that the stochastic delay system remains exponentially stable. The result will also be extended to nonlinear systems. 

Original languageEnglish
Pages (from-to)442-447
Number of pages6
JournalIEEE Transactions on Automatic Control
Volume41
Issue number3
DOIs
Publication statusPublished - 1996

Keywords

  • delay systems
  • linear systems
  • stability
  • stochastic systems
  • uncertain systems

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