Decomposition and stability of linear systems with multiplicative noise (Q1061087)
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English | Decomposition and stability of linear systems with multiplicative noise |
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Decomposition and stability of linear systems with multiplicative noise (English)
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1984
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This paper deals with linear stochastic systems of the form \(dX=a(t)Axdt+\sum B_ ix\circ dW_ i\), where ''\(\circ ''\) denotes the symmetric stochastic integral. The explicit solvability of these equations depends on the structure of the Lie algebra generated by \(\{A,B_ 1,...,B_ m\}\), see the work of \textit{A. J. Krener} and \textit{C. Lobry} [Stochastics 4, 193-203 (1981; Zbl 0452.60069)] for a general treatment of these problems. Once an explicit solution is obtained, stability properties (such as pth-mean, pth-order stability) can be discussed. The stability criteria are applied to an abelian and a solvable example.
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linear stochastic systems
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explicit solvability
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Lie algebra
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stability criteria
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