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ISS Informal Systems Seminar

On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits


Oct 11, 2019   11:00 AM — 12:00 PM

David Levanony Ben-Gurion University of the Negev, Israel

Linear time-varying stochastic differential equations with a.s. continuous, convergent random system matrix processes are considered. We show that given the limit is known to be Hurwitz (i.e. asymptotically stable), the generated state solutions are a.s. bounded. This property is shown to hold by substantiating that, w.p.1, (i) no finite escape time exists and (ii) no divergence to infinity, as t goes to infinity, may occur. We end with an adaptive control application example.

Based on a joint work with Peter E. Caines

Free entrance.
Welcome to everyone!

Peter E. Caines organizer
Aditya Mahajan organizer
Shuang Gao organizer


Room MC 437
McConnell Building
McGill University
3480, rue University Montréal QC H3A 0E9 Canada

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