A Contraction Theory Approach to Stochastic Incremental Stability
A Contraction Theory Approach to Stochastic Incremental Stability
We investigate the incremental stability properties of Ito stochastic dynamical systems. Specifically, we derive a stochastic version of nonlinear contraction theory that provides a bound on the mean square distance between any two trajectories of a stochastically contracting system. This bound can be expressed as a function of the noise …