Abstract
In this note, we study the relationship between the sample and moment Lyapunov exponents for jump linear systems. Using a large deviation theorem, a modified version of Arnold's formula for connecting sample path and moment Lyapunov exponents for continuous-time linear stochastic systems is extended to discrete-time jump linear systems. Sample path stability properties of linear stochastic systems are determined by the top Lyapunov exponent and relating sample and moment Lyapunov exponents may be useful for developing computationally efficient methods for determining the almost-sure (sample path) stability of linear stochastic systems.
| Original language | English |
|---|---|
| Pages (from-to) | 1556-1560 |
| Journal | IEEE Transactions on Automatic Control |
| Volume | 47 |
| Issue number | 9 |
| DOIs | |
| Publication status | Published - Sept 2002 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- Finite-state Markov chain
- Large deviation
- Linear stochastic systems
- Lyapunov exponents
- Moment Lyapunov exponents