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

DOI10.1080/10236198.2011.561796zbMath1258.39011MaRDI QIDQ2902285

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 behavior; asymptotic stability; almost sure stability; semi-martingale convergence theorem; stochastic difference equations; multidimensional stochastic systems

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

37H10: Generation, random and stochastic difference and differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

39A30: Stability theory for difference equations

39A06: Linear difference equations

39A50: Stochastic difference equations

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Cites Work

• Almost sure stability of some stochastic dynamical systems with memory
• Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
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• Stability of stochastic discrete systems
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• Modeling with Itô Stochastic Differential Equations
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise