Brief paper: Feedback stabilizability for stochastic systems with state and control dependent noise

Authors:
Jacques L. Willems;Jan C. Willems
Affiliations:
Engineering School, University of Gent, Gent, Belgium;Mathematical Institute, University of Groningen, Groningen, The Netherlands
Venue:
Automatica (Journal of IFAC)
Year:
1976

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Abstract

This paper deals with linear stochastic systems with state and control dependent noise. Conditions are derived for which there exists a state feedback control such that the closed loop system is stable in the mean square sense. Particular attention is paid to the case in which there is only state dependent noise or only control dependent noise and to cases in which the noise intensities are arbitrarily large.