On an exponential martingale approach to almost sure stability of Itô SDEs in R^1

MaRDI QIDQ3173975zbMATH OpenFDO

Authors John A. D. Appleby, Henri Schurz, Alexandra Rodkina

Publication date 11 October 2011

Full work available at URL http://online.watsci.org/abstract_pdf/2011v18/v18n4a-pdf/4.pdf

zbMATH Keywords

a.s. asymptotic stabilityDolean-Dade exponentiallaw of iterated logarithm for stochastic integralsmartingale convergence theoremspolynomial decay ratesstochastic differential equationsstochastic exponentials

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Recommendations

• On the exponential stability of stochastic differential equations
• A note on exponential almost sure stability of stochastic differential equation
• Lyapunov Functions and Almost Sure Exponential Stability of Stochastic Differential Equations Based on Semimartingales with Spatial Parameters
• scientific article; zbMATH DE number 3869198
• scientific article; zbMATH DE number 613148

Cited in

(5)

• ALMOST SURE POLYNOMIAL STABILITY FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• Almost sure practical exponential stability of nonlinear disturbed stochastic systems with guaranteed decay rate
• scientific article; zbMATH DE number 221457 (Why is no real title available?)
• Exponential almost sure synchronization of one-dimensional diffusions with nonregular coefficients
• A note on exponential almost sure stability of stochastic differential equation

This page was built for publication: On an exponential martingale approach to almost sure stability of Itô SDEs in \(\mathbb{R}^1\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3173975)