On Stability with Respect to a Part of the Variables for Nonlinear Discrete-Time Systems with a Random Disturbances
https://doi.org/10.17587/mau.22.12-18
Abstract
Nonlinear discrete (finite-difference) system of equations subject to the influence of a random disturbances of the "white" noise type, which is a difference analog of systems of stochastic differential equations in the Ito form, is considered. The increased interest in such systems is associated with the use of digital control systems, financial mathematics, as well as with the numerical solution of systems of stochastic differential equations. Stability problems are among the main problems of qualitative analysis and synthesis of the systems under consideration. In this case, we mainly study the general problem of stability of the zero equilibrium position, within the framework of which stability is analyzed with respect to all variables that determine the state of the system. To solve it, a discrete-stochastic version of the method of Lyapunov functions has been developed. The central point here is the introduction by N. N. Krasovskii, the concept of the averaged finite difference of a Lyapunov function, for the calculation of which it is sufficient to know only the right-hand sides of the system and the probabilistic characteristics of a random process. In this paper, for the class of systems under consideration, a statement of a more general problem of stability of the zero equilibrium position is given: not for all, but for a given part of the variables defining it. For the case of deterministic systems of ordinary differential equations, the formulation of this problem goes back to the classical works of A. M. Lyapunov and V. V. Rumyantsev. To solve the problem posed, a discrete-stochastic version of the method of Lyapunov functions is used with a corresponding specification of the requirements for Lyapunov functions. In order to expand the capabilities of the method used, along with the main Lyapunov function, an additional (vector, generally speaking) auxiliary function is considered for correcting the region in which the main Lyapunov function is constructed.
About the Authors
V. I. Vorotnikov
Sochi Institute of the Peoples’ Friendship University of Russia
Russian Federation
Russian Federation
Vorotnikov Vladimir I., Doctor Sci. (Phys.&Math.), Professor
Sochi, 354340
Yu. G. Martyshenko
Russian State University of Oil and Gas
Russian Federation
Russian Federation
Moscow, 119991
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Review
For citations:
Vorotnikov V.I., Martyshenko Yu.G. On Stability with Respect to a Part of the Variables for Nonlinear Discrete-Time Systems with a Random Disturbances. Mekhatronika, Avtomatizatsiya, Upravlenie. 2021;22(1):12-18. (In Russ.) https://doi.org/10.17587/mau.22.12-18
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