Automatica, Vol.32, No.12, 1741-1747, 1996
Parametrization Method for Calculating Exact Stability Bounds of Stochastic Linear-Systems with Multiplicative Noise
For deterministic time-invariant linear systems, stability results are quite simple. For stochastic systems, however, even for linear ones, they are rather complicated. In this paper, some results on second mean stability (mean square stability) of time-invariant linear systems with multiplicative noise are summarized and the parametrization method of getting an exact bound for pth mean stability (p greater than or equal to 2) via second mean stability is stated. Moreover, relations between pth mean stabilities for various values of p are given. On the basis of these relations, a simpler method for getting sufficient conditions for Pth mean stability is also given, though the resulting sufficient bound is, of course, more conservative. Comparative studies of various conditions are made by using examples.