Statistical and stabilizability properties of equivalent discrete-time systems with stochastic parameters

Abstract

This paper considers the influence of the statistics of a scalar continuous-time system with white stochastic parameters on the statistics, the correlation and the stabilizability of the corresponding scalar equivalent discrete-time system. By means of numerical examples some insight into the behaviour of the equivalent discrete-time system is given. Furthermore these examples illustrate the crucial influence of the correlation between the state- and control-dependent noise of the continuous-time system on the stabilizability of the equivalent discrete-time system.