Lyapounov exponent of linear stochastic systems with large diffusion term

DOI10.1016/0304-4149(92)90015-IMaRDI QIDQ1190171zbMATH OpenOpenAlexFDO

Authors Etienne Pardoux, Volker Wihstutz

Publication date 27 September 1992

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(92)90015-i

zbMATH Keywords

Lyapunov exponentstabilizingstochastic differential equations

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Review text

The authors consider linear systems of stochastic differential equations where the diffusion term is multiplied by a parameter. They study the Lyapunov exponent depending on this parameter tending to infinity. There are cases where the noise is stabilizing resp. destabilizing. The two- dimensional system is treated in great detail.

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Cites work

• Asymptotic Analysis of the Lyapunov Exponent and Rotation Number of the Random Oscillator and Applications
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• scientific article; zbMATH DE number 3240665 (Why is no real title available?)
• Lyapunov Exponent and Rotation Number of Two-Dimensional Linear Stochastic Systems with Small Diffusion
• Lyapunov exponents of nilpotent ito systems
• Principle of vibrational control: Theory and applications
• Stabilization of Linear Systems by Noise
• Vibrational control of nonlinear systems: Vibrational stabilizability

Cited in

(16)

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• Stability of Hyperbolic Partial Differential Equations with Random Loads
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• Stabilization of evolution equations by noise
• Local Lyapunov exponents. Sublimiting growth rates of linear random differential equations

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