Control Synthesis for Stochastic Switched Systems using the Tamed Euler Method

Abstract

In this paper, we explain how, under the one-sided Lipschitz (OSL) hypothesis, one can find an error bound for a variant of the Euler-Maruyama approximation method for stochastic switched systems. We then explain how this bound can be used to control stochastic switched switched system in order to stabilize them in a given region. The method is illustrated on several examples of the literature