Computation of continuous-time probabilistic invariant sets and ultimate bounds

The concepts of ultimate bounds and invariant sets play a key role in several control theory problems, as they replace the notion of asymptotic stability in the presence of unknown disturbances. However, when the disturbances are unbounded, as in the case of Gaussian white noise, no ultimate bounds nor invariant sets can in general be found. To overcome this limitation we introduced, in previous work, the notions of probabilistic ultimate bound (PUB) and probabilistic invariant set (PIS) for discrete-time systems. This article extends the notions of PUB and PIS to continuous-time systems, studying their main properties and providing tools for their calculation. An application of these concepts to robust control design is also presented