Instabilizability Conditions for Continuous-Time Stochastic Systems Under Control Input Constraints

Ahmet Cetinkaya, Masako Kishida

Research output: Contribution to journalArticlepeer-review


In this paper, we investigate constrained control of continuous-time linear stochastic systems. We show that for certain system parameter settings, constrained control policies can never achieve stabilization. Specifically, we explore a class of control policies that are constrained to have a bounded average second moment for Ito-type stochastic differential equations with additive and multiplicative noise. We prove that in certain settings of the system parameters and the bounding constant of the control constraint, divergence of the second moment of the system state is inevitable regardless of the initial state value and regardless of how the control policy is designed.

Original languageEnglish
JournalIEEE Control Systems Letters
Publication statusAccepted/In press - 2021
Externally publishedYes


  • Actuators
  • Additives
  • constrained control
  • Differential equations
  • linear systems.
  • Packet loss
  • Probabilistic logic
  • Stochastic processes
  • Stochastic systems
  • Stochastic systems

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Control and Optimization


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