Nonnormality and stochastic differential equations (Q2433869)

An example is presented and analyzed to show that a system of linear ordinary differential equations that is stable but highly nonnormal can be destabilized by adding a small random noise term. The instability is established by studying the resulting system of Itô stochastic differential equations (SDE). Then an analogous destabilization effect is derived for the difference equation obtained from the Euler-Maruyama numerical scheme for the SDE.