A New Framework for Bounding Reachability Probabilities of Continuous-time Stochastic Systems

Abstract

This manuscript presents an innovative framework for constructing barrier functions to bound reachability probabilities for continuous-time stochastic systems described by stochastic differential equations (SDEs). The reachability probabilities considered in this paper encompass two aspects: the probability of reaching a set of specified states within a predefined finite time horizon, and the probability of reaching a set of specified states at a particular time instant. The barrier functions presented in this manuscript are developed either by relaxing a parabolic partial differential equation that characterizes the exact reachability probability or by applying the Gr\"onwall's inequality. In comparison to the prevailing construction method, which relies on Doob's non-negative supermartingale inequality (or Ville's inequality), the proposed barrier functions provide stronger alternatives, complement existing methods, or fill gaps.