Nonnormality and stochastic differential equations
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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.
- Destabilising nonnormal stochastic differential equations
- Stabilization and Destabilization by Noise in the Plane
- Noise-induced stabilization of planar flows. I.
- Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
- The effect of parametric random perturbations of white noise type in linear discrete dynamical systems is only destabilizing.
- A special stability problem for linear multistep methods
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- G-stability is equivalent toA-stability
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- Hydrodynamic stability without eigenvalues
- Non-Gaussian distribution for stock returns and related stochastic differential equation
- Normal forms for random differential equations
- Destabilising nonnormal stochastic differential equations
- Dynamics of a stochastic cholera epidemic model with Lévy process
- MS-stability of nonnormal stochastic differential systems
- Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
- Finite-time stability and asynchronous resilient control for Itô stochastic semi-Markovian jump systems
- Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
- Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- ON ESTIMATION OF TRANSIENT STOCHASTIC STABILITY OF LINEAR SYSTEMS
- Stability of a stochastic discrete SIS epidemic model with general nonlinear incidence rate
- Nonlinear stochastic differential equations in statistical physics and integral representation.
- A survey of mean-square destabilization of multidimensional linear stochastic differential systems with non-normal drift
- Synchronization in directed nonlinear complex networks under intermittent stochastic control
- Lyapunov exponents for Hamiltonian systems under small Lévy-type perturbations
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