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Article Dans Une Revue IEEE Transactions on Automatic Control Année : 2009

A contraction theory approach to stochastic incremental stability

Résumé

We investigate the incremental stability properties of Itô stochastic dynamical systems. Specifically, we derive a stochastic version of nonlinear contraction theory that provides a bound on the mean square distance between any two trajectories of a stochastically contracting system. This bound can be expressed as a function of the noise intensity and the contraction rate of the noise-free system. We illustrate these results in the contexts of stochastic nonlinear observers design and stochastic synchronization.

Dates et versions

inria-00466264 , version 1 (23-03-2010)

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Quang-Cuong Pham, Nicolas Tabareau, Jean-Jacques Slotine. A contraction theory approach to stochastic incremental stability. IEEE Transactions on Automatic Control, 2009, 54 (4), pp.816--820. ⟨10.1109/TAC.2008.2009619⟩. ⟨inria-00466264⟩

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