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arXiv · 2503.14177

Distributions and Direct Parametrization for Stable Stochastic State-Space Models

Mohamad Al Ahdab·Zheng-Hua Tan·John Leth
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Abstract

We present a direct parametrization for continuous-time stochastic state-space models that ensures external stability via the stochastic bounded-real lemma. Our formulation facilitates the construction of probabilistic priors that enforce almost-sure stability, which are suitable for sampling-based Bayesian inference methods. We validate our work with a simulation example and demonstrate its ability to yield stable predictions with uncertainty quantification.

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Mohamad Al Ahdab, Zheng-Hua Tan, John Leth. 2025-09-21. Distributions and Direct Parametrization for Stable Stochastic State-Space Models. https://arxiv.org/abs/2503.14177

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