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

DOI10.1080/10236198.2011.561796zbMATH Open1258.39011OpenAlexW2002142600MaRDI QIDQ2902285FDOQ2902285

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

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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)

Cites Work

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

Cited In (5)

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

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