Unbounded-Time Safety Verification of Stochastic Differential Dynamics
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by
Shenghua Feng, Mingshuai Chen, Bai Xue, Sriram Sankaranarayanan, Naijun Zhan
2020
Abstract
In this paper, we propose a method for bounding the probability that a
stochastic differential equation (SDE) system violates a safety specification
over the infinite time horizon. SDEs are mathematical models of stochastic
processes that capture how states evolve continuously in time. They are widely
used in numerous applications such as engineered systems (e.g., modeling how
pedestrians move in an intersection), computational finance (e.g., modeling
stock option prices), and ecological processes (e.g., population change over
time). Previously the safety verification problem has been tackled over finite
and infinite time horizons using a diverse set of approaches. The approach in
this paper attempts to connect the two views by first identifying a finite time
bound, beyond which the probability of a safety violation can be bounded by a
negligibly small number. This is achieved by discovering an exponential barrier
certificate that proves exponentially converging bounds on the probability of
safety violations over time. Once the finite time interval is found, a
finite-time verification approach is used to bound the probability of violation
over this interval. We demonstrate our approach over a collection of
interesting examples from the literature, wherein our approach can be used to
find tight bounds on the violation probability of safety properties over the
infinite time horizon.
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