The transition from ergodic to explosive behavior in a family of stochastic differential equations (Q424484): Difference between revisions
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A specific parametrized family of two dimensional stochastic differential equations is considered. Regions of parameter space are identified where stability and existence of unique invariant probability distribution is assured on one hand, and where the process is unstable for some initial conditions with a strictly positive probability on the other. The proof in the former case uses construction of multiple Lyapunov functions constructed on a cover of the state space and for the degenerate case, the hypoellipticity property. | |||
Property / review text: A specific parametrized family of two dimensional stochastic differential equations is considered. Regions of parameter space are identified where stability and existence of unique invariant probability distribution is assured on one hand, and where the process is unstable for some initial conditions with a strictly positive probability on the other. The proof in the former case uses construction of multiple Lyapunov functions constructed on a cover of the state space and for the degenerate case, the hypoellipticity property. / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 93E15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J60 / rank | |||
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Property / zbMATH DE Number: 6040292 / rank | |||
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stochastic differential equations | |||
Property / zbMATH Keywords: stochastic differential equations / rank | |||
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stability | |||
Property / zbMATH Keywords: stability / rank | |||
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instability | |||
Property / zbMATH Keywords: instability / rank | |||
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Lyapunov functions | |||
Property / zbMATH Keywords: Lyapunov functions / rank | |||
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unique invariant distribution | |||
Property / zbMATH Keywords: unique invariant distribution / rank | |||
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Revision as of 22:26, 29 June 2023
scientific article
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English | The transition from ergodic to explosive behavior in a family of stochastic differential equations |
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The transition from ergodic to explosive behavior in a family of stochastic differential equations (English)
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1 June 2012
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A specific parametrized family of two dimensional stochastic differential equations is considered. Regions of parameter space are identified where stability and existence of unique invariant probability distribution is assured on one hand, and where the process is unstable for some initial conditions with a strictly positive probability on the other. The proof in the former case uses construction of multiple Lyapunov functions constructed on a cover of the state space and for the degenerate case, the hypoellipticity property.
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stochastic differential equations
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stability
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instability
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Lyapunov functions
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unique invariant distribution
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