Stochastic controllability of linear discrete systems with multiplicative noise

Abstract

This paper is concerned with a detailed study of controllability for a broad class of discrete linear stochastic systems with multiplicative state-dependent and control-dependent noise. Comparatively analysed are two approaches to the problem : the first employs a stochastic Liapunov-like function, and the second uses the well-known Chebyshev probability bound. It is shown for discrete systems with multiplicative noise that the Chebyshev approach is more suitable in general systems application.