On Stochastic Stability of a Class of non-Markovian Processes and Applications in Quantization

摘要

In many applications, the common assumption that a driving noise processaffecting a system is independent or Markovian may not be realistic, but thenoise process may be assumed to be stationary. To study such problems, thispaper investigates stochastic stability properties of a class of non-Markovianprocesses, where the existence of a stationary measure, asymptotic meanstationarity and ergodicity conditions are studied. Applications in feedbackquantization and stochastic control are presented.