Applied Mathematics and Optimization, Vol.63, No.2, 217-237, 2011
An Excursion-Theoretic Approach to Stability of Discrete-Time Stochastic Hybrid Systems
We address stability of a class of Markovian discrete-time stochastic hybrid systems. This class of systems is characterized by the state-space of the system being partitioned into a safe or target set and its exterior, and the dynamics of the system being different in each domain. We give conditions for L (1)-boundedness of Lyapunov functions based on certain negative drift conditions outside the target set, together with some more minor assumptions. We then apply our results to a wide class of randomly switched systems (or iterated function systems), for which we give conditions for global asymptotic stability almost surely and in L (1). The systems need not be time-homogeneous, and our results apply to certain systems for which functional-analytic or martingale-based estimates are difficult or impossible to get.