Almost sure stability of discrete-time Markov jump linear systems
Keywords:Markov jump linear systems, Lyapunov exponent, almost sure stability
The present work deals with the study of the almost sure stability of discrete-time Markov jump linear systems (MJLS). First, the stability of linear systems in discrete time (MJLS with a single mode) is introduced by the Lyapunov exponent. Then the extension of this theory to the general case is approached: a variant of Birkhoff’s
ergodic theorem is used to revise the equality (4.6) for the Lyapunov exponent described in , from this we obtain the characterization of the almost sure stability of the MJLS.
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