Towards a theory of stochastic hybrid systems

被引：0

作者：

Hu, JH ^{[1
]}

Lygeros, J ^{[1
]}

Sastry, S ^{[1
]}

机构：

[1] Univ Calif Berkeley, Berkeley, CA 94720 USA

来源：

HYBRID SYSTEMS: COMPUTATION AND CONTROL | 2000年 / 1790卷

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we present a scheme of stochastic hybrid system which introduces randomness to the deterministic framework of the traditional hybrid systems by allowing the flow inside each invariant set of the discrete state variables to be governed by stochastic differential equation (SDE) rather than the deterministic ones. The notion of embedded Markov chains is proposed for such systems and some illustrative example from high way model is presented. As an important application, these ideas are then applied to the state space discretization of one dimensional SDE to obtain the natural discretized stochastic hybrid system together with its embedded MC. The invariant distribution and exit probability from interval of the MC are studied and it is shown that they converge to their counterparts for the solution process of the original SDE as the discretization step goes to zero. As a result, the discretized stochastic hybrid system provides a useful tool for studying various sample path properties of the SDE.

引用

页码：160 / 173

页数：14

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