Almost sure convergence and asymptotic stability of systems of linear stochastic difference equations in ℝddriven byL2-martingales

DOI10.1080/10236198.2011.561796MaRDI QIDQ2902285zbMATH OpenOpenAlexFDO

Authors Henri Schurz

Publication date 17 August 2012

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10236198.2011.561796

zbMATH Keywords

asymptotic behaviorasymptotic stabilityalmost sure stabilitysemi-martingale convergence theoremstochastic difference equationsmultidimensional stochastic systems

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Linear difference equations (39A06) Stability theory for difference equations (39A30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic difference equations (39A50)

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Cites work

• A survey of stability of stochastic systems
• Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
• Almost sure stability of some stochastic dynamical systems with memory
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Modeling with Itô Stochastic Differential Equations
• On the stability of systems with random parameters
• Pathwise non-exponential decay rates of solutions of scalar nonlinear stochastic differential equations
• Stability of stochastic discrete systems

Cited in

(5)

• Sharp pathwise asymptotic stability criteria for planar systems of linear stochastic difference equations
• Generalized invariance principles for discrete-time stochastic dynamical systems
• Almost sure convergence of solutions to non-homogeneous stochastic difference equation
• On the stability of stochastic dynamic equations on time scales
• Almost sure stability of some stochastic dynamical systems with memory

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