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Incremental Nonlinear Stability Analysis for Stochastic Systems Perturbed by Lévy Noise

Han, SooJean and Chung, Soon-Jo (2021) Incremental Nonlinear Stability Analysis for Stochastic Systems Perturbed by Lévy Noise. . (Unpublished)

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We present a theoretical framework for characterizing incremental stability of nonlinear stochastic systems perturbed by additive noise of two types: compound Poisson shot noise and bounded-measure Lévy noise. For each type, we show that trajectories of the system with distinct initial conditions and noise sample paths exponentially converge towards a bounded error ball of each other in the expected mean-squared sense under certain boundedness assumptions. The practical utilities of this study include the model-based design of stochastic controllers/observers that are able to handle a much broader class of noise than Gaussian white. We demonstrate our results using three case studies.

Item Type:Report or Paper (Discussion Paper)
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URLURL TypeDescription Paper
Chung, Soon-Jo0000-0002-6657-3907
Additional Information:Attribution 4.0 International (CC BY 4.0). The authors would like to thank John C. Doyle for the insights he provided as motivation for this work.
Record Number:CaltechAUTHORS:20210510-141340828
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:109050
Deposited By: George Porter
Deposited On:10 May 2021 21:36
Last Modified:10 May 2021 21:36

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