On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix (Q721865): Difference between revisions

\(\delta_t\) stability for a matrix \(A_t\) is defined. Then the form of the upper function for \(\| X_t\|^2\) is found when \(X_t\) is the solution of the system of stochastic differential equations \[ dX_t=A_tX_tdt+G_tdw_t,\quad X_0=x, \] where \(A_t\) is \(\delta_t\) stable and \(\lim\limits_{t\to\infty}\sup\frac{\| G_t\|^2}{\delta_t}<\infty\). Relationships between the asymptotic behavior of \(\| G_t\|^2\) and the asymptotic behavior of \(\| X_t\|^2\) and its upper function are given. Examples of the upper functions are provided for some choices of \(\delta_t\).