Probabilistic reachability and control synthesis for stochastic switched systems using the tamed Euler method

Adrien Camille le Coent, Laurent Fribourg, Jonathan Vacher, Rafal Wisniewski

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

In this paper, we explain how, under the one-sided Lipschitz (OSL) hypothesis, one can find a mean square error bound for a variant of the Euler–Maruyama approximation method for stochastic switched systems. Subsequently, we explain how this bound can be used to control a stochastic switched system in order to make it reach a target zone with guaranteed minimum probability. The method is illustrated on several examples from the literature.

Original languageEnglish
Article number100860
JournalNonlinear Analysis: Hybrid Systems
Volume36
ISSN1751-570X
DOIs
Publication statusPublished - May 2020

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