Lyapunov exponents of linear stochastic functional differential equations. II: Examples and case studies

DOI10.1214/aop/1024404511zbMath0885.60043OpenAlexW2048677413MaRDI QIDQ1370227

Michael K. R. Scheutzow, Salah-Eldin A. Mohammed

Publication date: 31 March 1998

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404511

zbMATH Keywords

Brownian motionPoisson processLyapunov spectrumstochastic flowstochastic delay equationLyapunov exponentsemimartingaleexponential growth ratestochastic functional differential equationsingular equationregular equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic stability in control theory (93E15) Stochastic functional-differential equations (34K50) Stochastic integral equations (60H20)

Related Items (22)

A Dynamical Theory for Singular Stochastic Delay Differential Equations I: Linear Equations and a Multiplicative Ergodic Theorem on Fields of Banach Spaces ⋮ Delay differential equations driven by Lévy processes: stationarity and Feller properties ⋮ Almost sure exponential stability of hybrid stochastic functional differential equations ⋮ Asymptotic and exponential decay in mean square for delay geometric Brownian motion. ⋮ Almost sure exponential stability and stabilization of hybrid stochastic functional differential equations with Lévy noise ⋮ Exchange rate bifurcation in a stochastic evolutionary finance model ⋮ Global stability of stationary solutions for a class of semilinear stochastic functional differential equations with additive white noise ⋮ Asymptotic stability of some stochastic evolution equations. ⋮ Invariant measures and a stability theorem for locally Lipschitz stochastic delay equations ⋮ The stable manifold theorem for non-linear stochastic systems with memory. I: Existence of the semiflow. ⋮ Non-exponential stability of scalar stochastic Volterra equations. ⋮ Stability analysis of semilinear stochastic differential equations ⋮ Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework ⋮ Almost Sure Exponential Stability of Stochastic Differential Delay Equations ⋮ Stabilization of Volterra equations by noise ⋮ Geometric Brownian motion with delay: mean square characterisation ⋮ Asymptotic coupling and a general form of Harris' theorem with applications to stochastic delay equations ⋮ A dynamical theory for singular stochastic delay differential equations. II: Nonlinear equations and invariant manifolds ⋮ A Stochastic Gronwall Lemma and Well-Posedness of Path-Dependent SDEs Driven by Martingale Noise ⋮ Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations ⋮ Further results on stabilization of stochastic differential equations with delayed feedback control under \( G \)-expectation framework ⋮ An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations

Cites Work

• Stability of functional differential equations
• Characteristic exponents and invariant manifolds in Hilbert space
• Theory of functional differential equations. 2nd ed
• Lyapunov exponents of linear stochastic functional differential equations driven by semimartingales. I: The multiplicative ergodic theory
• On the stability of processes defined by stochastic difference- differential equations
• The sizes of compact subsets of Hilbert space and continuity of Gaussian processes
• Stochastic parabolic equations in bounded domains: random evolution operator and lyapunov exponents
• Nonlinear flows of stochastic linear delay equations
• Lyapunov Exponent and Rotation Number of Two-Dimensional Linear Stochastic Systems with Small Diffusion
• Lyapunov exponents of nilpotent ito systems
• The lyapunov spectrum and stable manifolds for stochastic linear delay equations
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