Concept and applications of nonlinear stochastic systems

Abstract

This paper focuses on a nonlinear stochastic system, which is a dynamical system possessing nonlinearity and probabilistic uncertainty. First, the concept of stochastic differential equation is briefly explained as a system representation. Second, stochastic analysis necessary for analysis and controller design in stochastic control is summarized. One of the main advantage of stochastic system control is to achieve given control objectives with uncertainties rigorously taken into account.