This work is devoted to stability analysis of numerical solutions for jump diffusions and jump diffusions with Markovian switching. Different from the existing treatment of Euler-Maurayama methods for solutions of stochastic differential equations, we use techniques from stochastic approximation. We analyze the almost sure exponential stability and exponential pstability. Then Markovian regime-...

This paper deals with problems of parity space-based fault detection for a class of discrete-time linear Markovian jump systems. A new algorithm is firstly introduced to reduce the computation of mode-dependent redundancy relation parameter matrices. Different from the case of linear time invariant systems, the parity space-based residual generator for a Markovian jump system cannot be designed...

In this paper, we provide a new framework for mean square stability of stochastic jump linear systems via optimal transport. The Wasserstein metric which defines an optimal transport cost between probability density functions enables the stability analysis. Without any assumptions on the nature of the underlying jump process, the convergence of the Wasserstein distance guarantees the mean squar...

In this paper we introduce a consensus-based distributed filter, executed by a sensor network, inspired by the Markovian jump linear system filtering theory. We show that the optimal filtering gains of the Markovian jump linear system can be used as an approximate solution of the optimal distributed filtering problem. This parallel allows us to interpret each filtering gain corresponding to a m...

We compare two approaches for a Markovian model in flexible manufacturing systems (FMSs) using Monte Carlo simulation. The model which is a development of Fazlollahtabar and Saidi-Mehrabad (2013), considers two features of automated flexible manufacturing systems equipped with automated guided vehicle (AGV) namely, the reliability of machines and the reliability of AGVs in a multiple AGV jobsho...

This paper deals with static output feedback H∞ control of continuous time Active Fault Tolerant Control Systems with Markovian Parameters (AFTCSMP) and statedependent noise. It adopts a new framework, based on the synthesis of ellipsoidal sets of controllers, introduced in [18], [19]. It is also shown that the obtained results can easily be applied to the problematic of mode-independent static...

The robust sliding mode control problem of a class of uncertain hybrid linear systems with Markovian jump parameters is considered. Under the assumption of unknown upper bounds matched system uncertainties, the sufficient conditions are proposed to guarantee exponentially stable in mean square of reduced-order sliding mode system. Under the conditions of unknown upper bounds of system uncertain...

In this paper, we study the stochastic optimal tracking problems with preview for a class of linear discrete-time Markovian jump systems. The systems are described by the discrete-time switching systems with Markovian mode transitions. The necessary and sufficient conditions for the solvability of the optimal tracking problems are given by coupled Riccati difference equations with terminal cond...