Abstract

In this paper, we develop stochastic dissipativity notions for stochastic dynamical systems using basic input-output and state properties. Specifically, a stochastic version of dissipativity using both an input-output as well as a state dissipation inequality for controlled Markov diffusion processes is presented. The results are then used to derive extended Kalman-Yakubovich-Popov conditions for characterizing necessary and sufficient conditions for stochastic dissipativity of stochastic systems using two-times continuously differentiable storage functions.

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