Numerical computation of invariant densities of linear control systems driven by multiplicative white noise

DOI10.1080/00207170500146552zbMath1105.93054OpenAlexW2101961965MaRDI QIDQ5707972

Iakovos Matsikis, Tobias Gayer, Fritz Colonius

Publication date: 25 November 2005

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170500146552

zbMATH Keywords

Lyapunov exponentinvariant density

Mathematics Subject Classification ID

Feedback control (93B52) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Cites Work

• Lyapunov exponents. Proceedings of a Workshop held in Bremen, Germany, November 12-15, 1984
• High order approximation of the Frobenius-Perron operator
• A subdivision algorithm for the computation of unstable manifolds and global attractors
• Exploring invariant sets and invariant measures
• The Monte Carlo Method

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