On Lyapunov stability of scalar stochastic time-delayed systems

Ehsan Samiei, Shahab Torkamani, Eric Butcher

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

In this paper, we obtain an analytical Lyapunov- based stability conditions for scalar linear and nonlinear stochastic systems with discrete time-delay. The Lyapunov–Krasovskii and Lyapunov–Razumikhin methods are applied with techniques from stochastic calculus to obtain the regions of mean square asymptotic stability in the parameter space. Both delay-independent and delay-dependent stability conditions are analyzed corresponding to both additive and multiplicative stochastic Brownian motion excitation in the Ito form. It is also shown that the derived sufficient conditions are less conservative in comparison with other numerical LMI-based Lyapunov approaches. A range of different stability charts are obtained based on the derived Lyapunov-based stability criteria, which are also compared with numerical first and second moment stability boundaries computed using the stochastic semidiscretization method. A Lipschitz condition is used to treat nonlinear functions of the current and delayed states.

Original languageEnglish (US)
Pages (from-to)64-80
Number of pages17
JournalInternational Journal of Dynamics and Control
Volume1
Issue number1
DOIs
StatePublished - Mar 1 2013
Externally publishedYes

Fingerprint

Lyapunov Stability
Lyapunov
Scalar
Stability Condition
Linear Stochastic Systems
Nonlinear Stochastic Systems
Mean-square Stability
Semidiscretization
Stochastic Calculus
Delay-dependent Stability
Lipschitz condition
Stability Criteria
Chart
Nonlinear Function
Asymptotic Stability
Brownian motion
Parameter Space
Stochastic systems
Brownian movement
Multiplicative

Keywords

  • Brownian motion process
  • Lyapunov–Krasovskii functional
  • Lyapunov–Razumikhin function
  • Mean square stability
  • Semidiscretization
  • Time-delay

ASJC Scopus subject areas

  • Civil and Structural Engineering
  • Control and Systems Engineering
  • Electrical and Electronic Engineering
  • Mechanical Engineering
  • Control and Optimization
  • Modeling and Simulation

Cite this

On Lyapunov stability of scalar stochastic time-delayed systems. / Samiei, Ehsan; Torkamani, Shahab; Butcher, Eric.

In: International Journal of Dynamics and Control, Vol. 1, No. 1, 01.03.2013, p. 64-80.

Research output: Contribution to journalArticle

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