Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/32023
Title: First passage time of stochastic differential systems: Probability estimation and probability guaranteed control
Authors: Wu, X
Wang, Z
Lu, W
Shen, B
Keywords: stochastic differential equations;first passage time;staying-in time;exiting time;output feedback control;comparison theorem
Issue Date: 16-May-2025
Publisher: Elsevier
Citation: Wu, X. et al. (2025) 'First passage time of stochastic differential systems: Probability estimation and probability guaranteed control', Systems and Control Letters, 203, 106124, pp. 1 - 9. doi: 10.1016/j.sysconle.2025.106124.
Abstract: This paper is concerned with the probability estimation and probability guaranteed control problems for the first passage time (FPT) of a class of nonlinear systems described by stochastic differential equations (SDEs) within a given boundary. Taking advantage of the comparison theorem of the SDE, a one-dimensional conservatism process is constructed as an upper bound on the process induced by the boundary condition, based on which the FPT probability can be calculated either analytically or numerically. Furthermore, by virtue of the stochastic analysis and the matrix inequality technique, sufficient conditions are established to ensure that such probabilities exceed certain prescribed thresholds in two different scenarios: in the stay-in scenario, the state trajectory is ensured to remain within a given region for a certain period, and in the entry scenario, the state trajectory is ensured to enter a given region within a certain period. Moreover, as an application, the output feedback controller is designed so that the FPT probability of the closed-loop system is guaranteed to exceed a specified index. Finally, numerical examples are presented to validate the effectiveness of the proposed theoretical results.
Description: Data availability: Data will be made available on request.
URI: https://bura.brunel.ac.uk/handle/2438/32023
DOI: https://doi.org/10.1016/j.sysconle.2025.106124
ISSN: 0167-6911
Other Identifiers: ORCiD: Xinyu Wu https://orcid.org/0009-0004-9728-2725
ORCiD: Zidong Wang https://orcid.org/0000-0002-9576-7401
Article number: 106124
Appears in Collections:Dept of Computer Science Embargoed Research Papers

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