Linear Systems with Stochastic Coefficients†
- 1 March 1965
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 1 (3), 239-250
- https://doi.org/10.1080/00207176508905476
Abstract
The paper presents a general investigation of the behaviour of randomly excited linear dynamical systems whoso parameters are subject to Gaussian white noise variations. The Fokker-Planek equation governing the first probability density of the response is derived, from which the equations determining the response moments are obtained. General criteria arc derived for the stability of linear stochastic systems mid discussed in relation to certain first and second-order systems. Also, the controversy over the question of stabilizing on inherently unstable system by white noise parameter variations is clarified.Keywords
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