American Institute of Mathematical Sciences

Advanced
August  2019, 24(8): 4099-4116. doi: 10.3934/dcdsb.2019052

Stabilisation by delay feedback control for highly nonlinear hybrid stochastic differential equations

Zhenyu Lu 1, , Junhao Hu 2,, and  Xuerong Mao 3,

1. 

School of Electronic and Information Engineering, Nanjing University of Information Science and Technology, Nanjing, Jiangsu 210044, China
2. 

School of Mathematics and Statistics, South-Central University for Nationalities, Wuhan, Hubei 430074, China
3. 

Department of Mathematics and Statistics, University of Strathclyde, Glasgow G1 1XH, U.K

* Corresponding author: J. Hu

Received  April 2018 Revised  August 2018 Published  February 2019

Fund Project: The authors would like to thank the Royal Society (WM160014, Royal Society Wolfson Research Merit Award), the Royal Society and the Newton Fund (NA160317, Royal Society-Newton Advanced Fellowship), the Royal Society of Edinburgh (61294), the EPSRC (EP/K503174/1), the Natural Science Foundation of China (61773220, 61473334, 61876192, 61374085), the Ministry of Education (MOE) of China (MS2014DHDX020) for their financial support.

Given an unstable hybrid stochastic differential equation (SDE, also known as an SDE with Markovian switching), can we design a delay feedback control to make the controlled hybrid SDE become asymptotically stable? The paper [14] by Mao et al. was the first to study the stabilisation by delay feedback controls for hybrid SDEs, though the stabilization by non-delay feedback controls had been well studied. A critical condition imposed in [14] is that both drift and diffusion coefficients of the given hybrid SDE need to satisfy the linear growth condition. However, many hybrid SDE models in the real world do not fulfill this condition (namely, they are highly nonlinear) and hence there is a need to develop a new theory for these highly nonlinear SDE models. The aim of this paper is to design delay feedback controls in order to stabilise a class of highly nonlinear hybrid SDEs whose coefficients satisfy the polynomial growth condition.

Keywords: Brownian motion, Markov chain, asymptotic stability, Lypunov functional.
Mathematics Subject Classification: Primary: 60H10, 60J10; Secondary: 93D15.
Citation: Zhenyu Lu, Junhao Hu, Xuerong Mao. Stabilisation by delay feedback control for highly nonlinear hybrid stochastic differential equations. Discrete & Continuous Dynamical Systems - B, 2019, 24 (8) : 4099-4116. doi: 10.3934/dcdsb.2019052
References:
[1]

A. Ahlborn and U. Parlitz, Stabilizing unstable steady states using multiple delay deedback control, Physical Review Letters, 93 (2004), 264101. Google Scholar

[2]

A. Bahar and X. Mao, Stochastic delay population dynamics, Journal of International Applied Mathematics, 11 (2004), 377-400.   Google Scholar

[3]

J. Cao, H. X. Li and D. W. C. Ho, Synchronization criteria of Lur's systems with time-delay feedback control, Chaos, Solitons and Fractals, 23 (2005), 1285-1298.  doi: 10.1016/S0960-0779(04)00380-7.  Google Scholar

[4]

L. Hu, X. Mao and Y. Shen, Stability and boundedness of nonlinear hybrid stochastic differential delay equations, Control Letters, 62 (2013), 178-187.  doi: 10.1016/j.sysconle.2012.11.009.  Google Scholar

[5] G. S. Ladde and V. Lakshmikantham, Random Differential Inequalities, Academic Press, 1980.   Google Scholar
[6]

Y. Ji and H. J. Chizeck, Controllability, stabilizability and continuous-time Markovian jump linear quadratic control, IEEE Transaction on Automatic Control, 35 (1990), 777-788.  doi: 10.1109/9.57016.  Google Scholar

[7] V. B. Kolmanovskii and V. R. Nosov, Stability of Functional Differential Equations, Academic Press, 1986.   Google Scholar
[8] A. L. Lewis, Option Valuation under Stochastic Volatility: with Mathematica Code, Finance Press, 2000.   Google Scholar
[9]

X. Mao, Stability of Stochastic Differential Equations with Respect to Semimartingales, Longman Scientific and Technical, 1991.  Google Scholar

[10]

X. Mao, Exponential Stability of Stochastic Differential Equations, Marcel Dekker, 1994.  Google Scholar

[11]

X. Mao, Stochastic Differential Equations and Their Applications, 2$^{nd}$ edition, Horwood Publishing Limited, Chichester, 2007. Google Scholar

[12]

X. Mao, Stability of stochastic differential equations with Markovian switching, Stochastic Processes and Their Applications, 79 (1999), 45-67.  doi: 10.1016/S0304-4149(98)00070-2.  Google Scholar

[13]

X. Mao, Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control, Automatica, 49 (2013), 3677-3681.  doi: 10.1016/j.automatica.2013.09.005.  Google Scholar

[14]

X. Mao, J. Lam and L. Huang, Stabilisation of hybrid stochastic differential equations by delay feedback control, Control Letters, 57 (2008), 927-935.  doi: 10.1016/j.sysconle.2008.05.002.  Google Scholar

[15]

X. Mao, A. Matasov and A. B. Piunovskiy, Stochastic differential delay equations with Markovian switching, Bernoulli, 6 (2000), 73-90.  doi: 10.2307/3318634.  Google Scholar

[16] X. Mao and C. Yuan, Stochastic Differential Equations with Markovian Switching, Imperial College Press, 2006.  doi: 10.1142/p473.  Google Scholar
[17]

M. Mariton, Jump Linear Systems in Automatic Control, Marcel Dekker, 1990. Google Scholar

[18]

S.-E. A. Mohammed, Stochastic Functional Differential Equations, Longman Scientific and Technical, 1984.  Google Scholar

[19]

K. Pyragas, Control of chaos via extended delay feedback, Physics Letters A, 206 (1995), 323-330.  doi: 10.1016/0375-9601(95)00654-L.  Google Scholar

[20]

L. Shaikhet, Stability of stochastic hereditary systems with Markov switching, Theory of Stochastic Processes, 2 (1996), 180-184.   Google Scholar

[21]

L. Wu, X. Su and P. Shi, Sliding mode control with bounded $L_2$ gain performance of Markovian jump singular time-delay systems, Automatica, 48 (2012), 1929-1933.  doi: 10.1016/j.automatica.2012.05.064.  Google Scholar

[22]

S. You, W. Liu, J. Lu, X. Mao and Q. Qiu, Stabilization of hybrid systems by feedback control based on discrete-time state observations, SIAM Journal on Control and Optimization, 53 (2015), 905-925.  doi: 10.1137/140985779.  Google Scholar

[23]

D. Yue and Q. Han, Delay-dependent exponential stability of stochastic systems with time-varying delay, nonlinearity, and Markovian switching, IEEE Transaction on Automatic Control, 50 (2005), 217-222.  doi: 10.1109/TAC.2004.841935.  Google Scholar

show all references

References:
[1]

A. Ahlborn and U. Parlitz, Stabilizing unstable steady states using multiple delay deedback control, Physical Review Letters, 93 (2004), 264101. Google Scholar

[2]

A. Bahar and X. Mao, Stochastic delay population dynamics, Journal of International Applied Mathematics, 11 (2004), 377-400.   Google Scholar

[3]

J. Cao, H. X. Li and D. W. C. Ho, Synchronization criteria of Lur's systems with time-delay feedback control, Chaos, Solitons and Fractals, 23 (2005), 1285-1298.  doi: 10.1016/S0960-0779(04)00380-7.  Google Scholar

[4]

L. Hu, X. Mao and Y. Shen, Stability and boundedness of nonlinear hybrid stochastic differential delay equations, Control Letters, 62 (2013), 178-187.  doi: 10.1016/j.sysconle.2012.11.009.  Google Scholar

[5] G. S. Ladde and V. Lakshmikantham, Random Differential Inequalities, Academic Press, 1980.   Google Scholar
[6]

Y. Ji and H. J. Chizeck, Controllability, stabilizability and continuous-time Markovian jump linear quadratic control, IEEE Transaction on Automatic Control, 35 (1990), 777-788.  doi: 10.1109/9.57016.  Google Scholar

[7] V. B. Kolmanovskii and V. R. Nosov, Stability of Functional Differential Equations, Academic Press, 1986.   Google Scholar
[8] A. L. Lewis, Option Valuation under Stochastic Volatility: with Mathematica Code, Finance Press, 2000.   Google Scholar
[9]

X. Mao, Stability of Stochastic Differential Equations with Respect to Semimartingales, Longman Scientific and Technical, 1991.  Google Scholar

[10]

X. Mao, Exponential Stability of Stochastic Differential Equations, Marcel Dekker, 1994.  Google Scholar

[11]

X. Mao, Stochastic Differential Equations and Their Applications, 2$^{nd}$ edition, Horwood Publishing Limited, Chichester, 2007. Google Scholar

[12]

X. Mao, Stability of stochastic differential equations with Markovian switching, Stochastic Processes and Their Applications, 79 (1999), 45-67.  doi: 10.1016/S0304-4149(98)00070-2.  Google Scholar

[13]

X. Mao, Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control, Automatica, 49 (2013), 3677-3681.  doi: 10.1016/j.automatica.2013.09.005.  Google Scholar

[14]

X. Mao, J. Lam and L. Huang, Stabilisation of hybrid stochastic differential equations by delay feedback control, Control Letters, 57 (2008), 927-935.  doi: 10.1016/j.sysconle.2008.05.002.  Google Scholar

[15]

X. Mao, A. Matasov and A. B. Piunovskiy, Stochastic differential delay equations with Markovian switching, Bernoulli, 6 (2000), 73-90.  doi: 10.2307/3318634.  Google Scholar

[16] X. Mao and C. Yuan, Stochastic Differential Equations with Markovian Switching, Imperial College Press, 2006.  doi: 10.1142/p473.  Google Scholar
[17]

M. Mariton, Jump Linear Systems in Automatic Control, Marcel Dekker, 1990. Google Scholar

[18]

S.-E. A. Mohammed, Stochastic Functional Differential Equations, Longman Scientific and Technical, 1984.  Google Scholar

[19]

K. Pyragas, Control of chaos via extended delay feedback, Physics Letters A, 206 (1995), 323-330.  doi: 10.1016/0375-9601(95)00654-L.  Google Scholar

[20]

L. Shaikhet, Stability of stochastic hereditary systems with Markov switching, Theory of Stochastic Processes, 2 (1996), 180-184.   Google Scholar

[21]

L. Wu, X. Su and P. Shi, Sliding mode control with bounded $L_2$ gain performance of Markovian jump singular time-delay systems, Automatica, 48 (2012), 1929-1933.  doi: 10.1016/j.automatica.2012.05.064.  Google Scholar

[22]

S. You, W. Liu, J. Lu, X. Mao and Q. Qiu, Stabilization of hybrid systems by feedback control based on discrete-time state observations, SIAM Journal on Control and Optimization, 53 (2015), 905-925.  doi: 10.1137/140985779.  Google Scholar

[23]

D. Yue and Q. Han, Delay-dependent exponential stability of stochastic systems with time-varying delay, nonlinearity, and Markovian switching, IEEE Transaction on Automatic Control, 50 (2005), 217-222.  doi: 10.1109/TAC.2004.841935.  Google Scholar

Figure 4.1.  The computer simulation of the sample paths of the Markov chain and the SDDE (2.4) with control (4.2) and $ \tau = 0.06 $ using the Euler–Maruyama method with step size $ 10^{-4} $.
Figure Options

Download full-size image

Download as PowerPoint slide

Figure 4.2.  The computer simulation of the sample paths of the Markov chain and the SDDE (2.4) with control (4.3) and $ \tau = 0.01 $ using the Euler–Maruyama method with step size $ 10^{-4} $
Figure Options

Download full-size image

Download as PowerPoint slide

[1]

Defei Zhang, Ping He. Functional solution about stochastic differential equation driven by $G$-Brownian motion. Discrete & Continuous Dynamical Systems - B, 2015, 20 (1) : 281-293. doi: 10.3934/dcdsb.2015.20.281
[2]

Hermann Brunner, Chunhua Ou. On the asymptotic stability of Volterra functional equations with vanishing delays. Communications on Pure & Applied Analysis, 2015, 14 (2) : 397-406. doi: 10.3934/cpaa.2015.14.397
[3]

Yong Ren, Xuejuan Jia, Lanying Hu. Exponential stability of solutions to impulsive stochastic differential equations driven by $G$-Brownian motion. Discrete & Continuous Dynamical Systems - B, 2015, 20 (7) : 2157-2169. doi: 10.3934/dcdsb.2015.20.2157
[4]

Yong Ren, Wensheng Yin, Dongjin Zhu. Exponential stability of SDEs driven by $G$-Brownian motion with delayed impulsive effects: average impulsive interval approach. Discrete & Continuous Dynamical Systems - B, 2018, 23 (8) : 3347-3360. doi: 10.3934/dcdsb.2018248
[5]

Yong Ren, Huijin Yang, Wensheng Yin. Weighted exponential stability of stochastic coupled systems on networks with delay driven by $ G $-Brownian motion. Discrete & Continuous Dynamical Systems - B, 2019, 24 (7) : 3379-3393. doi: 10.3934/dcdsb.2018325
[6]

Nobuyuki Kato. Linearized stability and asymptotic properties for abstract boundary value functional evolution problems. Conference Publications, 1998, 1998 (Special) : 371-387. doi: 10.3934/proc.1998.1998.371
[7]

Fabrice Baudoin, Camille Tardif. Hypocoercive estimates on foliations and velocity spherical Brownian motion. Kinetic & Related Models, 2018, 11 (1) : 1-23. doi: 10.3934/krm.2018001
[8]

Samuel N. Cohen, Lukasz Szpruch. On Markovian solutions to Markov Chain BSDEs. Numerical Algebra, Control & Optimization, 2012, 2 (2) : 257-269. doi: 10.3934/naco.2012.2.257
[9]

Guolian Wang, Boling Guo. Stochastic Korteweg-de Vries equation driven by fractional Brownian motion. Discrete & Continuous Dynamical Systems - A, 2015, 35 (11) : 5255-5272. doi: 10.3934/dcds.2015.35.5255
[10]

Dingjun Yao, Rongming Wang, Lin Xu. Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission. Journal of Industrial & Management Optimization, 2015, 11 (2) : 461-478. doi: 10.3934/jimo.2015.11.461
[11]

Yong Xu, Rong Guo, Di Liu, Huiqing Zhang, Jinqiao Duan. Stochastic averaging principle for dynamical systems with fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2014, 19 (4) : 1197-1212. doi: 10.3934/dcdsb.2014.19.1197
[12]

Yong Xu, Bin Pei, Rong Guo. Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2015, 20 (7) : 2257-2267. doi: 10.3934/dcdsb.2015.20.2257
[13]

Jingzhi Tie, Qing Zhang. An optimal mean-reversion trading rule under a Markov chain model. Mathematical Control & Related Fields, 2016, 6 (3) : 467-488. doi: 10.3934/mcrf.2016012
[14]

Ralf Banisch, Carsten Hartmann. A sparse Markov chain approximation of LQ-type stochastic control problems. Mathematical Control & Related Fields, 2016, 6 (3) : 363-389. doi: 10.3934/mcrf.2016007
[15]

Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang. On a Markov chain approximation method for option pricing with regime switching. Journal of Industrial & Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529
[16]

Tzong-Yow Lee. Asymptotic results for super-Brownian motions and semilinear differential equations. Electronic Research Announcements, 1998, 4: 56-62.

[17]

Daoyi Xu, Yumei Huang, Zhiguo Yang. Existence theorems for periodic Markov process and stochastic functional differential equations. Discrete & Continuous Dynamical Systems - A, 2009, 24 (3) : 1005-1023. doi: 10.3934/dcds.2009.24.1005
[18]

Dmitriy Chebanov. New class of exact solutions for the equations of motion of a chain of $n$ rigid bodies. Conference Publications, 2013, 2013 (special) : 105-113. doi: 10.3934/proc.2013.2013.105
[19]

Kun Wang, Yangping Lin, Yinnian He. Asymptotic analysis of the equations of motion for viscoelastic oldroyd fluid. Discrete & Continuous Dynamical Systems - A, 2012, 32 (2) : 657-677. doi: 10.3934/dcds.2012.32.657
[20]

Tadahisa Funaki, Yueyuan Gao, Danielle Hilhorst. Convergence of a finite volume scheme for a stochastic conservation law involving a $Q$-brownian motion. Discrete & Continuous Dynamical Systems - B, 2018, 23 (4) : 1459-1502. doi: 10.3934/dcdsb.2018159

2018 Impact Factor: 1.008

Tools

Metrics

  • PDF downloads (184)
  • HTML views (377)
  • Cited by (0)

Other articles
by authors

[Back to Top]

Copyright © 2020 American Institute of Mathematical Sciences