Theory of Stochastic Dissipative Systems

Abstract

By introducing the escape time, a new definition of the dissipativity is introduced under some assumptions that are very reasonable for most physical models. Based on this definition, criteria on the existence and the stability of the solution are presented, which can be seen as the extension of Lyapunov method to the non-smooth case. The dissipativity is applied to cascaded nonlinear stochastic systems and interconnected systems to display the superiority of the new framework, which shows that there is no need to calculate the first exit time and the escape time.