International Journal of Control, Vol.78, No.10, 734-746, 2005
Numerical computation of invariant densities of linear control systems driven by multiplicative white noise
For the 3-D linear oscillator with damping and disturbed by multiplicative white noise, we numerically compute the unique invariant density of the associated system obtained by projection onto the unit sphere. We show how varying feedback gains and noise intensities affect the corresponding density and consequently the stability properties.